Theoretical Exercises 2
The theoretical exercises for Topic 2 focus on maximum likelihood estimation in an autoregressive model and on the MA-representation and stationarity condition in a first-order autoregressive model. We will work actively with the first exercise during the Exercise Class on Monday, Feb. 27, while we will work actively with the second exercise during the lectures.
You can download the exercises below. Written solution guides will be added after we have worked with the content during the exercises and lectures.
Theoretical Exercises 2.pdf Download Theoretical Exercises 2.pdf.
Resources
The following resources might be useful for solving the exercise:
Written solution guide for Theoretical Exercise 2.1: Theoretical Exercise 2.1 - Solution Guide.pdf Download Theoretical Exercise 2.1 - Solution Guide.pdf.
Slides for Theoretical Exercise 2.1: Theoretical Exercise 2.1 - Slides.pdf Download Theoretical Exercise 2.1 - Slides.pdf.
Annotated slides for Theoretical Exercise 2.1: Theoretical Exercise 2.1 - Slides (Annotated).pdf Download Theoretical Exercise 2.1 - Slides (Annotated).pdf.
Video and Review Quiz 2-06: Estimation of ARMA Models.
The first video shows how to derive the maximum likelihood estimator in a first-order autoregressive model.