ARMA-Eview Application

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ARMA-Eview Application
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MA Process

• MA Process
• Yi,11ui,11.5ui-1,1
• MA with order of 1
• The Graph of Autocorrelation function
• When Acf will dampen?

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MA Process
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MA Process
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MA Process
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MA Process
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AR Process

• AR Process
• AR with order of 2
• Yi,10.8Yi-1,1 0.6Yi-2,13ui,1
• The Graph of Autocorrelation function
• Stationary or Non-stationary?
• Acf will damp?

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AR Process
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AR Process
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AR Process
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AR Process

• AR Process
• Yi,10.2Yi-1,1 0.3Yi-2,13ui,1
• Stationary or non-stationary?
• Acf will decrease?
• Autocorrelation versus partial autocorrelation

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AR Process
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ARMA Process

• ARMA Process
• Yi,10.6Yi-1,1ui,10.4ui-1,10.2ui-2,
  1
• Acf will dampen?

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ARMA Process
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ARMA Process

• ARMA (1,2)
• Yi,10.6Yi-1,1ui,10.4ui-1,10.2ui-2,
  1
• How to estimate?

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ARMA Process
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ARMA Process