hw3-s08 (178)

hw3-s08 (178) - Ec 178 ECON & BUS FORECASTING Foster,...

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Ec 178 – ECON & BUS FORECASTING Foster, UCSD, Due Friday, 6 JUN 2008 HOMEWORK #3 -- ARIMA Put answers on answer sheet (last page). THE PROBLEM You have data y t , t = 1…100. Ex post forecast period is t = 90-100 Ex ante forecast period is t = 101-106 DOING THE ASSIGNMENT In the instructions below: = left mouse click;  = double-click = right-click Boldface = commands you type Italics = my notes on what happens next = things you enter on the answer sheet or attach to this assignment. ENTERING THE DATA Open S TATA and execute these commands: set obs 106 egen t=fill(1 2) tsset t Data → Data Editor Enter y t from Table 1. Name the variable y .” Preserve File → Save as hw3 list line y t Like Fig. 1. DETERMINING STATIONARITY Series y t is obviously not stationary. How would you describe the non- stationarity? How could you transform y t into a stationary series? Do you recommend deterministic models here? Explain. Execute the following command to get a correlogram of y: ac y, lag(10) What is associated with this pattern in the ACF? Data Table t = 1-20 21-40 41-60 61-80 81-100 20 20 21 23 18 15 12 26 28 17 9 10 17 18 21 26 37 38 42 46 47 45 44 44 51 66 73 78 80 88 97 88 78 72 81 81 75 81 85 87 78 79 86 100 99 87 73 76 93 109 103 96 104 121 133 126 122 116 111 115 110 105 110 124 135 134 123 120 120 125 131 138 142 142 147 149 156 165 169 171 181 185 186 180 173 180 183 197 207 204 186 174 182 182 184 185 187 191 189 176 0 50 100 150 200 y 0 50 100 t Fig. 1 -- Raw Data
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Ec 178 HOMEWORK #3 p. 2 Execute the following commands to test for a unit root: Statistics → Time series → Tests → Augmented Dickey-Fuller unit-root test Main o Variable y o Include trend term … o Display regression o Lagged differences 2 Submit Or, equivalently, type the following command: dfuller y, trend regress lag(2) Record your test statistic and the 5% critical value in Table A. What are the null and alternative hypotheses for this test? What is your conclusion regarding series y t ? STATIONARITY TRANSFORMATION
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This note was uploaded on 06/20/2008 for the course ECON 178 taught by Professor Foster during the Spring '08 term at UCSD.

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hw3-s08 (178) - Ec 178 ECON & BUS FORECASTING Foster,...

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