Department of Economics and Econometrics

Faculty of Economic and Financial Sciences

EXERCISES CHAPTER 1
Course : Advanced time series analysis (EKN4814)
Moderator : Dr A Pholo
Date : 16 February 2014
Exercise 1
Solve the following dierence equation assuming that y
0
= 13 and y
1
= 11.3
y
t
= 0.9y
t1
0.2y
t2
+ 3
cfr. Enders W. (2010), Applied Econometric Time Series, Wiley, 3rd edition, p.16-17
Exercise 2
Solve the following dierence equation with the method of undetermined coecients
1
y
t
= a
0
+ a
1
y
t1
+
t
+
1

t1
cfr. Enders W. (2010), Applied Econometric Time Series, Wiley, 3rd edition, p.35-36
Exercises 3-15
Solve Chapter 1 questions and exercises 1 to 13 in Enders W. (2010), Applied Econometric Time
Series, Wiley, 3rd edition, p. 43-45.
2