Econ 584
Gaussian White Noise
Time Series Econometrics
3
2
1
Stationary Time Series
0
-1
-2
-3
0 50 100 150 200 250
Eric Zivot Theoretical ACF
March 27, 2006
1.0
0.8
0.6
ACF
0.4
0.2
0.0
0 2 4 6 8 10
1 lags
2
Deterministic Trend Random Walk
15
25
20
10
15
5
10
0
5
-5
0
0 50 100 150 200 250 0 50 100 150 200 250
3 4
1
AR(1), Φ=0.75 AR(1), Φ=-0.75
IRF IRF
1.0
1.0
0.8
0.5
response
response
0.6
0.0
0.4
-0.5
0.2
0 2 4 6 8 10 0 2 4 6 8 10
lags lags
Cumulative IRF Cumulative IRF
1.0
4
0.8
cumulative response
cumulative response
3
0.6
2
0.4
1
0.2
0
0.0
0 2 4 6 8 10
0 2 4 6 8 10
lags
lags
5 6
Simulated AR(1) Processes ACFs for AR(1) Processes
AR(1), phi=0.99 AR(1), phi=0.90 AR(1), phi=0.99 AR(1), phi=0.90
1.0
1.0
10
0.8
0.8
5
autocorrelation
autocorrelation
2
0.6
0.6
0
0.4
0.4
-2
-5
0.2
0.2
-4
-10
0.0
0.0
-6
0 50 100 150 200 250 0 50 100 150 200 250 0 2 4 6 8 10 0 2 4 6 8 10
lags lags
AR(1), phi=0.75 AR(1), phi=0.50 AR(1), phi=0.75 AR(1), phi=0.50
1.0
1.0
4
0.8
0.8
2
autocorrelation
autocorrelation
0.6
0.6
0
0.4
0.4
-2
0.2
0.2
-2
0.0
-4
0 50 100 150 200 250 0 50 100 150 200 250 0 2 4 6 8 10 0 2 4 6 8 10
lags lags
7 8
2
AR(2), Φ1=0.6, Φ2=0.2
US/UK Real Exchange Rate, 1971 - 1990
4
1.8
2
1.6
0
1.4
-2
1.2
0 50 100 150 200
-4
0 50 100 150 200 250
Φ=0.8869, half-life = 5.77 years
9 10
AR(2), Φ1=0.5, Φ2=-0.8 AR(2) IRF, Φ1=0.6, Φ2=0.2
0.6
4
0.5
2
0.4
0
0.3
-2
0.2
-4
0.1
0.0
0 50 100 150 200 250 5 10 15 20
11 12
3
AR(2) IRF, Φ1=0.5, Φ2=-0.8
0.6
0.4
0.2
0.0
-0.2
-0.4
-0.6
5 10 15 20
13
