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    TS 2020

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    TS 2020

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    TS 2020

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    of 3

    DEPARTMENT OF FINANCE AND BUSINESS ECONOMICS

    MBA (BE) PROGRAMMME III Semester – December 2020

    (Paper Name : Time Series and Business Forecasting Paper No: 424802302)

    Time: 3 hours Maximum Marks: 70

    (Attempt any 4 questions. All questions carry equal marks).

    Note : All Working Notes should be clearly shown and submitted with the Answer
    Sheet.
    ____________________________________________________________________

    Q1.
    Sample: 3 - 92 No. of obs = 90
    Log likelihood = -1071.861 AIC = 24.28579
    FPE = 7082253 HQIC = 24.52101
    Det(Sigma_ml) = 4437011 SBIC = 24.86908

    Equation Parms RMSE R-sq chi2 P>chi2


    ----------------------------------------------------------------
    investment 7 17.9917 0.9931 12863.36 0.0000
    income 7 14.9956 0.9996 206334.5 0.0000
    consumption 7 12.7268 0.9996 204969.7 0.0000
    ----------------------------------------------------------------

    ------------------------------------------------------------------------------
    | Coef. Std. Err. z P>|z| [95% Conf. Interval]
    -------------+----------------------------------------------------------------
    investment |
    investment |
    L1. | .9214801 .1132396 8.14 0.000 .6995345 1.143426
    L2. | -.0309793 .1177816 -0.26 0.793 -.2618271 .1998685
    |
    income |
    L1. | .347895 .1634126 2.13 0.033 .0276123 .6681777
    L2. | -.4291984 .1633705 -2.63 0.009 -.7493988 -.108998
    |
    consumption |
    L1. | -.0142775 .2059428 -0.07 0.945 -.417918 .389363
    L2. | .1466272 .1835245 0.80 0.424 -.2130741 .5063285
    |
    _cons | 7.139433 6.196512 1.15 0.249 -5.005508 19.28437
    -------------+----------------------------------------------------------------
    income |
    investment |
    L1. | .1744586 .0943827 1.85 0.065 -.010528 .3594452
    L2. | -.0933625 .0981684 -0.95 0.342 -.2857689 .099044
    |
    income |
    L1. | 1.113057 .1362007 8.17 0.000 .846108 1.380005
    L2. | -.1373462 .1361657 -1.01 0.313 -.404226 .1295337
    |
    consumption |
    L1. | .0601819 .1716487 0.35 0.726 -.2762434 .3966073
    L2. | -.0507479 .1529635 -0.33 0.740 -.3505509 .2490551
    |
    _cons | 2.88529 5.164655 0.56 0.576 -7.237248 13.00783
    -------------+----------------------------------------------------------------
    consumption |
    investment |
    L1. | .0874531 .0801024 1.09 0.275 -.0695447 .2444508
    L2. | -.0956002 .0833153 -1.15 0.251 -.2588952 .0676948
    |
    income |
    L1. | .4570433 .1155933 3.95 0.000 .2304847 .683602
    L2. | -.2391698 .1155635 -2.07 0.038 -.4656702 -.0126694
    |
    consumption |
    L1. | .508389 .1456779 3.49 0.000 .2228655 .7939125
    L2. | .2468194 .1298198 1.90 0.057 -.0076228 .5012616
    |
    _cons | 13.29376 4.383232 3.03 0.002 4.702785 21.88474
    ------------------------------------------------------------------------------

    Page 1 of 3
    Based on the STATA output shown above, comment on how a researcher should decide on the
    appropriate number of lags to be included in this model; explain the relationship between the
    exogenous and endogenous variables; highlight the pros and cons of using such models.

    Q2. Explain the meaning of symmetries in news, and provide appropriate specifications for GARCH
    models that can capture those effects.

    Q3. The figure below shows the data for a manufacturer's stocks of Evaporated and Sweet Condensed
    Milk (case goods) for the period January 1971 through December 1980.

    Describe the time plot. What can you learn from the ACF graph? What can you learn from the PACF
    graph?

    Q4. Explain the following with the help of examples: Autocorrelation, Serial correlation, and Spatial
    Autocorrelation; Ex post and Ex ante forecasts; Conditional and Unconditional forecasts.

    Q5. The Bedanta Energy Corporation produces renewable energy. The company president wants the
    senior data analyst to forecast the company’s sales for 2021Q3 using the data given below.

    Month Sales (units)


    2017Q3 205
    2017Q4 251
    2018Q1 304
    2018Q2 284
    2018Q4 300
    2019Q1 241

    Page 2 of 3
    2019Q2 284
    2019Q3 312
    2019Q4 289
    2020Q1(projected) 385
    2020Q2(projected) 256

    Find the forecast value for sales for each month using a naïve model and a 3- Quarter moving average.
    Why are these forecasts called Adaptive Forecasts? Evaluate these forecasting methods using MAD,
    MSE, MAPE and MPE. Will the projected values of sales for 2020Q1 and 2020Q2 affect the forecast
    for 2020Q3? Explain in the context of the COVID19 pandemic.

    Q6. Study the data given below on the variables “Year”, “Number of Cars,” and “Price of Petrol” for
    the US. Comment on any patterns that are present in the data; the usefulness of weighted averages or
    exponentially weighted moving averages in forecasting this data beyond 1969; the appropriateness of
    using a univariate model to forecast the variable ‘Number of Cars” up to 1990; other relevant
    variables that can be used if a multivariate forecasting model is used to forecast.

    Number
    of Cars Population
    (in Price of (in
    Year Millions) Petrol millions)
    1947 30.87 97 145
    1948 33.39 100.8 147
    1949 36.35 105.4 150
    1950 40.33 104.3 152
    1951 42.68 98 155
    1952 43.82 97.3 158
    1953 46.46 100 160
    1954 48.41 101.4 163
    1955 52.09 101.8 166
    1956 54.25 103.3 170
    1957 56.38 103.2 172
    1958 57.39 98.5 175
    1959 60.13 98.1 178
    1960 62.26 98.6 181
    1961 63.87 96.4 184
    1962 66.64 95 187
    1963 69.84 93.2 189
    1964 72.97 91.8 192
    1965 76.63 92.6 194
    1966 80.11 92.7 196
    1967 82.37 93.1 199
    1968 85.79 90.8 201
    1969 89.16 89 203

    Price of Petrol is an index deflated by the consumer price index, 1953=100.

    Page 3 of 3

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