Time Series Simple Question 1
April 04, 2021
Essayheroes
Plot of sample ACF and PACF of a monthly time series data on electricity consumption by domestic sector in a given district, obtained by 1 short term and 1 long term differences (Yt) for the period from January 2000 to December 2009 are shown in Fig. 3.1 & Fig. 3.2 respectively. Part of the final model fitted to the same data is also shown in Tables 3.1 and 3.2.
Figure 3.1 – Plot of SACF of the Y(1,12) series
Figure 3.2 – Plot of SPACF of the series Y(1,12)
Table 3.1 – Eviews output for the fitted model
Dependent Variable: D(Y,1,12)
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Included observations: 107 after adjustments
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Convergence achieved after 10 iterations
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Backcast: 12 13
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Variable
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Coefficient
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Std. Error
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t-Statistic
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Prob.
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C
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0.307937
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0.993209
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0.310043
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0.7571
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MA(1)
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-0.752623
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0.099966
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-7.528812
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0.0000
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SMA(1)
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-0.205122
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0.038057
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-5.389863
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0.0000
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R-squared
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0.784528
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Mean dependent var
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0.383178
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Adjusted R-squared
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0.774615
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S.D. dependent var
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69.55677
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S.E. of regression
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50.41714
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Akaike info criterion
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10.70618
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Sum squared resid
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264356.3
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Schwarz criterion
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10.78112
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Log likelihood
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-569.7804
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F-statistic
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48.87842
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Durbin-Watson stat
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1.985581
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Prob(F-statistic)
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0.000000
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Table 3.2 Breusch-Godfrey Serial Correlation LM Test:
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F-statistic
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0.204007
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Probability
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0.935638
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Obs*R-squared
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0.862601
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Probability
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0.929864
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Test Equation:
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Dependent Variable: RESID
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Method: Least Squares
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Date: 05/31/12 Time: 16:18
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Presample missing value lagged residuals set to zero.
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Variable
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Coefficient
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Std. Error
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t-Statistic
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Prob.
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C
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0.000986
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1.008738
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0.000978
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0.9992
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MA(1)
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-0.156775
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0.205190
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-0.764051
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0.4466
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SMA(1)
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0.139314
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0.466663
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0.298532
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0.7659
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RESID(-1)
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0.011623
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0.406263
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0.028609
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0.9772
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RESID(-2)
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0.106383
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0.164037
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0.648530
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0.5181
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RESID(-3)
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0.119299
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0.148040
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0.805851
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0.4222
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RESID(-4)
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0.091219
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0.132894
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0.686408
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0.4940
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Specify two common features of the original series with justification based on Fig. 3.1.
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Interpret the results in Table 3.1
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Interpret the results in Table 3.2
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Write down the final model.
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Specify two short-comings in the selected model.
DETAILED ASSIGNMENT
