Assignment Econometrics (not to be submitted)

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Q1. (a) Briefly define time series data, its components, how we decompose the time series data, write the steps involved in
decomposition of time data also write the model for economic and business time series data.
(b) Following are the average of the components of time
series data for next 12 months, using re-composition
technique, forecast for these months.

Q2. Define Stationary data, write the assumptions of stationarity. Following are the figures of three types, simple line graph,
corralograms (ACF and PACF) and also ADF test results, kindly check which of the figures are stationary and non-stationary:

Q3.
Outline the major steps involved in the application of the BoxJenkins approach for ARMA or RIMA models.
Following is the graph of corralograms (ACF and PACF) identify the ARIMA or ARMA (please specify with argument)
model to be estimated. Write in AR and MA forms (also specify from where you identify the AR & MA terms.

You can also see the first estimated model above, is this ARIMA or ARMA model suitable for forecasting? What
about second one?, if any of the both estimated models (in your opinion with justification) is suitable for forecasting
write the ARIMA or ARMA model in equation form.
Q3.
(a) A researcher intends to find the relationship between two variables say CPI and WPI. Guide him for this research
question by using your knowledge about time series methodology (short run, long run, causal etc.).
(b) Below is the output (by using Eviews software) for Grangers Causality test, elaborate the result.

(c) The output (below) (by using Eviews software) for lag selection criteria, guide the researcher about the lag length selected
(also why and when this selection is necessary).

(d) The output (right side) of Vector Autoregressive Model

(VAR), write the model in equation form and guide the researcher for
the dependent variable for atleast three data points.

(f) The output (below) of Johnsons Co-integration method, interpret your

result and guide the researcher for the relationship between the variable is
this short run or long run relationship?

forecasting