ams316_hw3 - Hint Use a model selection criterion to choose...

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AMS316 HW3 Due Nov 23, 2009 1. Consider the time series of U.S. monthly unemployment rates from January 1948 to July 2007 in the Fle m us unem.txt . These data, which have been seasonally adjusted, are obtained from the ±ederal Reserve Bank of St. Louis.˜xing/statFnbook/ BookData/Chap05/m us unem.txt (a) Plot the AC± of the rates and the 1-lag di²erence of the rates. (b) ±it ARMA(1,1) model to the data from January 1948 to December 2006. (
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Unformatted text preview: Hint : Use a model selection criterion to choose the order within a prescribed range of orders.) (c) Use your Ftted model to compute k-months-ahead forecasts ( k = 1 , 2 , . . . , 6) and their standard errors, choosing December 2006 as the forecast origin. Compare your forecasts with the actual unemployment rates....
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This note was uploaded on 08/08/2010 for the course AMS 316 taught by Professor Xing during the Fall '09 term at SUNY Stony Brook.

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