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

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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. http://www.ams.sunysb.edu/˜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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