Consider the following time-series process given by

where denotes the lag operator and . What is the lag 3 autocorrelation of , ?

Question

Consider the following time-series process given by

where  denotes the lag operator and . What is the lag 3 autocorrelation of , ?

BlackTom AI · Accepted Answer

The question as provided lacks the actual time-series equation and the definition of the process, so a precise computation of the lag-3 autocorrelation cannot be carried out from the information shown. In general, the lag-k autocorrelation rho(k) is defined as Cov(y_t, y_{t-k}) / Var(y_t).

If the underlying process y_t is white noise (i.i.d. with zero mean and finite variance), then Cov(y_t, y_{t-k}) = 0 for all k ≠ 0, which implies rho(k)=0 for all k≠0. Therefore, in the common white-noise case, the lag-3 autocorrelation would be 0.

If instead the process has temporal dependence (for example AR, MA, or ARMA components), the value of rho(3) would generally be nonzero unless the model structure enforces a zero cross-covariance at lag 3 (which can happen in certain models, but not universally).

Because the prompt didn't include the explicit equation, we cannot verify whether the 0 result comes from a white-noise assumption, a model-specific property, or an algebraic cancellation within a particular process definition. If you intended a white-noise or orthogonal error structure, the zero value is consistent with standard results for lag-3 in such contexts. Otherwise, please provide the full model equation so we can compute rho(3) explicitly.

econ_475_120251_244434 Problem Set 3

Consider the following time-series process given by where denotes the lag operator and . What is the lag 3 autocorrelation of , ?

查看解析

登录即可查看完整答案

类似问题

What is a fundamental difference between typical time series data and cross-sectional data that violates a standard OLS assumption?

Autocovariance in residuals of time series regression indicates that OLS should never be applied to estimate coefficients

A classical ordinary least squares (OLS) cannot be applied if the dependent variable exhibits autocovariance

If the d-statistic in the Durbin-Watson Test is 0.5,

In a sample of size 25, you calculate a sample autocorrelation to be 0.35. You need to know if this autocorrelation is statistically significant at the 5% level of significance. Is it? (Keep in mind that the standard error of a sample autocorrelation is 1/(N^0.5), where N is the sample size.

Consider the following time-series process given by where denotes the lag operator and . What is the lag 1 autocorrelation of , ?

Consider the following time-series process given by 𝑦 𝑡 = ( 1 + 0.5 𝐿 + 0.6 𝐿 2 ) 𝜀 𝑡 where 𝐿 denotes the lag operator and 𝜀 𝑡 ∼ 𝑊 𝑁 ( 0 , 3 ) . What is the lag 3 autocorrelation of 𝑦 𝑡 , 𝜌 ( 3 ) ?

Consider the following time-series process given by 𝑦 𝑡 = ( 1 + 0.6 𝐿 + 0.1 𝐿 2 ) 𝜀 𝑡 where 𝐿 denotes the lag operator and 𝜀 𝑡 ∼ 𝑊 𝑁 ( 0 , 8 ) . What is the lag 1 autocorrelation of 𝑦 𝑡 , 𝜌 ( 1 ) ?

更多留学生实用工具

考试浏览器助手

风格化写作助手

论文查重助手

文献引用助手

课堂转译助手

课堂笔记助手

Quiz搜索助手

学校历年真题

智能刷题助手

智能匹配练习

希望你的学习变得更简单