(SOLVED) Simulate the model pt 14 3 x 0 45 0 55pt 1

Simulate the model pt 14 3 x 0 45 0 55pt 1 Simulate the model pt = 14.3 x 0.45 + 0.55pt–1 + ?t
Assume that ?t is a nor-mally distributed random variable ?t ? N(0, ?2) and consider different
values for the variance ?2 = 0.25, 1, 2. In […]

With the forecast errors of Exercise 8 run the following With the forecast errors of Exercise 8,
run the following regression: et,1 = ?0 + ?1et–1,1 + ?2et–2,1 + ?3ft.1 + ?4ft–1,1 + ut+1.
Comment on the regression results. Perform an F-test for the joint hypothesis H0: ?1 = ?1= […]

Let us call et 1 yt 1 ft 1 Let us call et,1 = yt + 1 – ft,1 the 1-quarter-ahead forecast error that you
have computed in Exercise 6. Is the expected value of the forecast errors equal to zero? If not,
what do you conclude? Run the regression […]

Consider the manager of a large department store Among other Consider the manager of a
large department store. Among other responsibilities, she is in charge of inventory control so
that she needs good forecasts of department sales. Think about the costs of overstocking and
understocking merchandise, and recommend a loss […]

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Using the same data set as in Exercise 3 and Using the same data set as in Exercise 3 and for
house price growth, run several regression models with one, two, three, and four lags of price
growth in the right-hand side of the model. Analyze the regression results. Compare […]

Download the same data as in Exercise 1 but at Download the same data as in Exercise 1, but
at the quarterly frequency. Compute the ACF and PACF functions of quarterly house prices,
interest rates, house price growth, and interest rates changes. Comment on the differences
across autocorrelation functions. In […]

With the new data from Exercise 1 replicate models i With the new data from Exercise 1,
replicate models (i) and (ii) of Section 4.1.1. Run different regression models by adding two
more lags for price and interest rate movements. Compare your results with models (i) and
model (ii). Is […]

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