Assignment 5 Fall 2011

Assignment 5 Fall 2011 - University of Massachusetts...

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1 University of Massachusetts Department of Resource Economics RESEC 797A Fall 2011 Assignment 5 HOLT-WINTERS EXPONENTIAL SMOOTHING In this exercise you will be estimating and forecasting with exponential smoothing for Variables 1 and 2. Split your data into within-sample and post-sample parts using the same time periods as you did for the previous exercises. 1. Use the appropriate two-parameter or three-parameter exponential smoothing algorithm in SAS for each series. Produce one-step-ahead within-sample and out-of-sample forecasts. Compute within-sample and out-of-sample RMSEs. Compare the accuracy of these with naive no-change forecasts; i.e., use Theil’s U. You need to get the data into a form that SAS can read. This can be a major obstacle. If it consists of a text file and the date is not in a form recognizable by SAS, the code shown below and the notes that follow will get you started. /* this program reads a text file of two columns, the variable is called series */ /* date is in the form yyyy.q for quarterly data */ /* SAS does not appear to read the date in this form */
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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).

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Assignment 5 Fall 2011 - University of Massachusetts...

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