文档介绍：I. Simulation of a Moving Average Process of Order Three, MA(3)
Open Eviews
Object Menu: New
Workfile Object: “Moving Average”
Frequency: • undated
observations: 1 1000
Workfile Menu: GENR
“WN=NRND”
Workfile Menu: GENR
“MATHREE=WN”
sample 1 3
Workfile Menu: GENR
“MATHREE= *WN(-3)+WN”
sample 4 1000
Workfile Window: Select MATHREE WN
Workfile Menu: VIEW: • open selection; you will see the spreadsheet view
Group Window: VIEW: • graph
Workfile Window: Select MATHREE
Workfile Menu: VIEW: • open selection
Group Window: VIEW: • histogram and stats
Group Window: VIEW: • correlogram: level, 36 lags
EXERCISE: Fit a model to MATHREE and show that the residuals from the model are white noise. Due in one week.
II. Weekly time series were collected from the Wall Street Journal for the federal funds rate, the rate banks charge each other for borrowing Federal Reserve deposits short term, usually overnight, to meet Federal Reserve requirements for reserves on hand. The federal funds rate is a policy instrument of the Federal Reserve. The Federal Open mittee sets a target for the federal funds rate and the Trading Desk of the Federal Reserve Bank of New York conducts open market operations, buying and selling government securities, to meet the target rate.
The data values are the weekly closing values for the federal funds rate. They are dated in