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This document contains a 3 question test on time series analysis. Question 1 has students deseasonalize time series data using additive and MA models, and complete a table of seasonal adjustment. Question 2 has students derive weights for moving averages and describe the 4 components of time series data. Question 3 defines a turning point and derives a formula for the mean number of turning points. The test is out of 40 marks and students have 1.5 hours to complete it.

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39 views2 pages

Tesdoo 0

This document contains a 3 question test on time series analysis. Question 1 has students deseasonalize time series data using additive and MA models, and complete a table of seasonal adjustment. Question 2 has students derive weights for moving averages and describe the 4 components of time series data. Question 3 defines a turning point and derives a formula for the mean number of turning points. The test is out of 40 marks and students have 1.5 hours to complete it.

Uploaded by

Donald
Copyright
© © All Rights Reserved
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University of Botswana

STA361: Time Series Analysis


Test 1: 40
Time 1.5 hrs

Question 1

(i) Briefly outline the steps required in deseasonalizing a time series using MA
and additive model.
(ii) Data on then 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

1
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

(5+10=15 marks)
Question 2

(i) Derive the weights and write down the expression for a simple moving
average of order 2, overlaid by a moving average of order 4.
(ii) State and give a brief description of the four components of a time series data.

(6+9=15 marks)

Question 3

Define a turning point and show that the mean of the total number of turning points is
2
(n - 2) . (10 marks)
3

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