ARMA-Eview Application

MA Process

• MA Process– Y[i,1]=1*u[i,1]+1.5*u[i-1,1];– MA with order of 1– The Graph of Autocorrelation function– When Acf will dampen?

MA Process

MA Process

MA Process

MA Process

AR Process

• AR Process– AR with order of 2– Y[i,1]=0.8*Y[i-1,1]+ 0.6*Y[i-2,1]+3*u[i,1]– The Graph of Autocorrelation function– Stationary or Non-stationary? – Acf will damp?

AR Process

AR Process

AR Process

AR Process

• AR Process– Y[i,1]=0.2*Y[i-1,1]+ 0.3*Y[i-2,1]+3*u[i,1]– Stationary or non-stationary?– Acf will decrease? – Autocorrelation versus partial autocorrelation

AR Process

ARMA Process

• ARMA Process– Y[i,1]=0.6*Y[i-1,1]+u[i,1]+0.4*u[i-1,1]+0.2*u[i-

2,1]– Acf will dampen?

ARMA Process

ARMA Process

• ARMA (1,2)– Y[i,1]=0.6*Y[i-1,1]+u[i,1]+0.4*u[i-1,1]+0.2*u[i-

2,1]– How to estimate?

ARMA Process

ARMA Process