Consider the model Yt = Yt3 + et et1, where et has variance 2 . (a) Identify Yt
ID: 3339918 • Letter: C
Question
Consider the model Yt = Yt3 + et et1, where et has variance 2 .
(a) Identify Yt as a certain SARIMA(p, d, q) × (P, D, Q)s model. That is, specify each of p, d, q, P, D, Q, and s. You may assume that < 1. (b) Find the variance of Yt . (c) What are the forecasts for Yt+1 and Yt+4? (d) What are the error variances for your forecasts above? (e) If 2 = 1, = .7, and = .5, find 95% limits for your forecasts above. You may assume that et are normally distributed. Also, the four most recent values are yt3 = 0.13, yt2 = 0.50, yt1 = 0.38, and yt = 1.53. Similarly, the four most recent et values are 0.08, 0.60, 0.75, and 0.95.
Explanation / Answer
Consider the model Yt = Yt3 + et et1, where et has variance 2 . (a) Identify Yt