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Paramter estimation in time series

N

nanaba

Member
Hi,

In the September 2008, question 10, parameters for an AR(2) model are to be calculated. For parameter a2 we get (r2 - r1^2) / (1-r1^2). Now, my understanding is that this is simply the PACF at lag 2. The sample PACF given in that example is 0.371. However, when recalculating the above formula with the sample ACFs, I get a value of 0.335 for a2. How is this possible?
Also for instance, the September 2018, question 9 exam used as a solution the fact that b2 = PACF at lag 2.
Am I missing something at this stage?
Thanks in advance!
 
Hi Nanaba

Well spotted! Looks to me to be a mistake in the given sample numbers. I can't see why the sample PACF at lag 2 wouldn't be 0.335. The given sample PACF at lag 3 also doesn't look correct to me either.

Hope this helps!
 
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