SOA Exam SRM Sample Question 58
Study guide: Exam SRM
You are given the following six observed values of the autoregressive model of order one time series
y_t = \beta_0 + \beta_1 y_{t-1} + \varepsilon_t \text{ with } Var(\varepsilon_t) = \sigma^2.
t |
1 | 2 | 3 | 4 | 5 | 6 |
|---|---|---|---|---|---|---|
y_t |
31 | 35 | 37 | 41 | 45 | 51 |
The approximation to the conditional least squares method is used to estimate \beta_0 and \beta_1.
Calculate the mean squared error s^2 that estimates \sigma^2.
- A) 13
- B) 21
- C) 22
- D) 26
- E) 35
Answer this question and see the worked solution