Assignment 3 2011

Assignment 3 2011 - University of Massachusetts Department...

Info iconThis preview shows page 1. Sign up to view the full content.

View Full Document Right Arrow Icon
University of Massachusetts Department of Resource Economics RESEC 797A Fall 2011 Assignment 3: Due September 26, 2011 SIMPLE MOVING AVERAGES AND SEASONALITY 1. For V ariable 2 (which is nonseasonal), compute three-period moving averages for the within-sample period. Next, make a series of one-step-ahead ex post forecasts for Variable 2 using the procedure outlined on page 22 of the BM notes. Do you need to calculate seasonal indices? Why or why not? Compute the RMSE for the post-sample period only. 2. Provide a comparison of the post-sample forecast accuracy when using your simple moving average approach to provide predictions (from Part 1, above) relative to the naive no-change method. Use Theil's U statistic. If your U statistic is greater than 1, explain what happened in Part 1 to make things go wrong. That is, why did the procedure fail? Provide a suitable graph as part of your answer. 3. Switch your attention to
Background image of page 1
This is the end of the preview. Sign up to access the rest of the document.

This note was uploaded on 12/08/2011 for the course ECON 797A taught by Professor Bernardmorzuch during the Fall '11 term at UMass (Amherst).

Ask a homework question - tutors are online