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Time Series Analysis Assignment

The document is a homework assignment asking the student to analyze time series data on monthly occupancy statistics for a motel in 2019. It asks the student to: [1] Calculate the autocorrelation coefficient r3; [2] Construct a 95% confidence interval for ρ3; and [3] Test the hypothesis that ρ3=0 versus the alternative that ρ3≠0. The student's response finds that r3=-0.89, the 95% confidence interval for ρ3 is (-1.46, -0.31), and the null hypothesis is rejected since 0 does not fall within the confidence interval.

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79 views

Time Series Analysis Assignment

The document is a homework assignment asking the student to analyze time series data on monthly occupancy statistics for a motel in 2019. It asks the student to: [1] Calculate the autocorrelation coefficient r3; [2] Construct a 95% confidence interval for ρ3; and [3] Test the hypothesis that ρ3=0 versus the alternative that ρ3≠0. The student's response finds that r3=-0.89, the 95% confidence interval for ρ3 is (-1.46, -0.31), and the null hypothesis is rejected since 0 does not fall within the confidence interval.

Uploaded by

Musa Khan
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as DOCX, PDF, TXT or read online on Scribd
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Lahore School of Economics

BBA III
Time Series Analysis and Forecasting Spring-2021

Name:_____M.Nauman Ahmed____ Section:____F____

Date:___2/4/2021___ Score:________________

Home Assignment No. 2

Q.1: The following table shows the monthly occupancy Statistics for Motel Nine during 2019:

Time (Yt-Ybar)*
t Month Yt Yt-3 Yt - Ybar Yt-3 - Ybar (Yt-Ybar)^2 (Yt-3-Ybar)
1 January 75 -16.33 266.67
2 February 93 1.67 2.79
3 March 97 5.67 32.15
4 April 96 75 4.67 -16.33 21.81 -404.70
5 May 87 93 -4.33 1.67 18.75 414.21
6 June 100 97 8.67 5.67 75.17 -716.66
7 July 83 96 -8.33 4.67 69.39 830.17
8 August 94 87 2.67 -4.33 7.13 -236.72
9 September 95 100 3.67 8.67 13.47 -321.71
10 October 91 83 -0.33 -8.33 0.11 30.25
11 November 86 94 -5.33 2.67 28.41 515.20
12 December 99 95 7.67 3.67 58.83 -641.67
Total 1096 594.67 -531.65

i. Calculate autocorrelation coefficient, r 3 .


ii. Construct 95% confidence intervals for ρ3 .
iii. Test the following hypothesis;

H 0 : ρ3=0 vs H 1 : ρ3 ≠ 0

Ans (i):

−531.65
r3 = 594.67
= -0.89
Ans (ii)
t = 2.2 (df=11, α=0.025)

ρ3 = r3 ± t * S.E(rk)

√
2 2
= -0.89 ± (2.2 * 1+2( r 1 +r 2 ) )
n
= -0.89 ± (2.2 * √ 1+2¿ ¿ ¿ )
= (-1.46, -0.31)

Ans (iii)

H 0 : ρ3=0 vs H 1 : ρ3 ≠ 0
We will reject H0 since the value “0” does not come between the interval: (-1.46, -
0.31)

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