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Test1 15

This document contains a test for a time series analysis course. [1] It presents monthly shipment data for air conditioners from 1983 to 1986 and asks students to complete the missing values. [2] It then asks students to discuss the four components of time series analysis and provide graphical illustrations as examples. [3] The final question defines stationary time series and asks students to show that an autoregressive process is stationary by calculating its mean, variance, and covariance between lags.

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56 views2 pages

Test1 15

This document contains a test for a time series analysis course. [1] It presents monthly shipment data for air conditioners from 1983 to 1986 and asks students to complete the missing values. [2] It then asks students to discuss the four components of time series analysis and provide graphical illustrations as examples. [3] The final question defines stationary time series and asks students to show that an autoregressive process is stationary by calculating its mean, variance, and covariance between lags.

Uploaded by

Donald
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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University of Botswana

STA 361 Time Series Analysis


Test 1 15/16

Question 1

Data on the following table shows the monthly shipment of air conditioners of a leading
manufacturing company from 1983 to 1986. Complete the table.
(NB the seasonal indices have been scaled by a constant)

Month Yt Fitted Value Detrended value Seasonal Scaled Seasonally


^
yt = 92.0558 + 0.743047t ^ Indices Seasonal Adjusted
(y / yt )*100 (SI) Indices (SSI) Series
t
yt
�100
SSI
1983 Jan 81.3 92.8 88 89.25 89.32 91.0
Feb A 93.54 F H 86.07 91.7
Mar 93.8 94.28 99 98 98.08 95.6
Apr 94 95.03 99 98.5 98.58 95.4
May 97.8 95.77 102 104 104.09 94.0
Jun 100.6 96.51 104 102.25 102.34 98.3
Jul 99.6 97.26 102 99.75 99.83 99.8
Aug 100.2 D 102 102.5 I 97.7
Sep 98 98.74 99 98.25 98.33 99.7
Oct 100.7 99.49 101 99.75 99.83 100.9
Nov 103.9 100.23 104 100.75 100.83 103.0
Dec 125.7 100.97 124 120 120.10 104.7
1984 Jan 93.1 E 92 89.25 89.32 104.2
Feb 93.7 102.46 91 86 86.07 108.9
Mar 104.3 103.2 101 98 98.08 106.3
Apr B 103.94 100 98.5 98.58 105.8
May 111.3 104.69 106 104 104.09 106.9
Jun 112 105.43 106 102.25 102.34 109.4
Jul 106.6 106.17 100 99.75 99.83 106.8
Aug 110.7 106.92 104 102.5 102.59 107.9
Sep 103.9 107.66 97 98.25 98.33 105.7
Oct C 108.4 101 99.75 99.83 J
Nov 113.3 109.15 104 100.75 100.83 112.4
Dec 131.8 109.89 120 120 120.10 109.7
1985 Jan 98.8 110.63 89 89.25 89.32 110.6
Feb 95.6 111.37 G 86 86.07 111.1
Mar 110.2 112.12 98 98 98.08 112.4
Apr 113.1 112.86 100 98.5 98.58 114.7
May 120.3 113.6 106 104 104.09 115.6
Jun 115 114.35 101 102.25 102.34 112.4
Jul 115.5 115.09 100 99.75 99.83 115.7
Aug 121.1 115.83 105 102.5 102.59 118.0
Sep 114.2 116.58 98 98.25 98.33 116.1
Oct 116.1 117.32 99 99.75 99.83 116.3
Nov 118.6 118.06 100 100.75 100.83 117.6
Dec 139.5 118.81 117 120 120.10 116.2
1986 Jan 105.6 119.55 88 89.25 89.32 118.2
Feb 99.7 120.29 83 86 86.07 115.8
Mar 114.2 121.03 94 98 98.08 116.4
Apr 115.7 121.78 95 98.5 98.58 117.4
May 125.4 122.52 102 104 104.09 120.5
Jun 120.4 123.26 98 102.25 102.34 117.7
Jul 120.7 124.01 97 99.75 99.83 120.9
Aug 124.1 124.75 99 102.5 102.59 121.0
Sep 124.6 125.49 99 98.25 98.33 126.7
Oct 123.1 126.24 98 99.75 99.83 123.3
Nov 120.8 126.98 95 100.75 100.83 119.8
Dec 151.5 127.72 119 120 120.10 126.1

(1 each=10 marks)
Question 2

Discuss the four components of time series. Give examples and graphical illustrations.
(4 each=16 marks)

Question 3

1. Define a Stationary Time Series


2. Consider an auto regressive process given by yt = b1 yt -1 + e t , where e t ~ i.i.d (0, s )
2

Show that the above process is a stationary by finding;

(i) Mean of yt , E ( yt )
(ii) Variance of yt , Var ( yt )
(iii) Covariance between yt and yt - k , Cov( yt yt -k )

(5+4+5+5 each=29 marks)

…………………………………………………………………………………………..

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