An input and output time series consists of 300 observations. The prewhitened input series is well modeled by an AR(2) model yt = 0.5yt-1 + 0.2yt-2 + ??t . We have estimated ??^?? = 0.2 and ??^?? =...

An input and output time series consists of 300 observations. The prewhitened input series is well modeled by an AR(2) model yt = 0.5yt-1 + 0.2yt-2 + ??t . We have estimated ??^?? = 0.2 and ??^?? = 0.4. The estimated cross-correlation function between the prewhitened input and output time series is shown below.a. Find the approximate standard error of the cross-correlation function. Which spikes on the cross-correlation function appear to be significant? b. Estimate the impulse response function. Tentatively identify the form of the transfer function model.
May 07, 2022
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