Introduction To Time Series And Forecasting Solution Manual

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3000 observations of a Gaussian MA(1) with coefficient 0.6 and WNV=1.0
were generated using ITSM. The option Transform>Subsequence allows
you to pick out the independent subsamples 1-200, 301-500, …, 2701-2900,
and get independent estimates for each of these ten samples of length 200.
Using the seed 1111111111 gives the results below. Notice that the moment
estimator is conveniently calculated in Excel by pasting in the sample ACF
at lag 1 and computing the moment estimator from the explicit formula on
p. 146.

Simulation rho(1)hat thetahat Moments Innov. Alg.
MLE
1
0.3901 0.479966
0.48
0.592
0.6686
2
0.4001 0.500208
0.5002
0.5909
0.6135
3
0.4611 0.665026
0.665
0.5649
0.557
4
0.4569 0.649853
0.6499
0.6567
0.61
5
0.5489 #NUM!
1
0.755
0.6771
6
0.464 0.676099
0.6761
0.548
0.4859
7
0.4274 0.562754
0.5628
0.5284
0.5521
8
0.4238 0.553757
0.5538
0.6318
0.6378
9
0.3825 0.46532
0.4653
0.5324
0.5741
10
0.3611 0.426912
0.4269
0.5103
0.5581
Sample variance =
0.027606 0.005475 0.003502
Sample mean =
0.598 0.59104 0.59342
Asymptotic theory:

0.023704
0.6

0.005
0.6

0.0032
0.6

The MLE is clearly best in terms of sample variance and the moment estimator is worst.
The empirical means and variances of the estimators are in good agreement with the
asymptotic theory.



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