Lab Assignment 12

Lab Assignment 12 - 1 Read in the data from the external...

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1. Read in the data from the external text file and plot the data. Submit a copy of the plot (it is better to export the plot in JPEG format). sp500 0 100 200 300 400 500 date JAN45 JAN50 JAN55 JAN60 JAN65 JAN70 JAN75 JAN80 JAN85 JAN90 JAN95 2. Use the first group of observations to identify an ARIMA model for S&P 500 index and submit the corresponding results. The SAS System 13:45 Thursday, April 1, 2010 1 The ARIMA Procedure Name of Variable = sp500 Period(s) of Differencing 1 Mean of Working Series 0.681201 Standard Deviation 5.007287 Number of Observations 533 Observation(s) eliminated by differencing 1 Autocorrelations Lag Covariance Correlation -1 9 8 7 6 5 4 3 2 1 0 1 2 3 4 5 6 7 8 9 1 Std Error 0 25.072928 1.00000 | |********************| 0 1 9.084861 0.36234 | . |******* | 0.043315 2 0.833747 0.03325 | . |*. | 0.048670 3 -2.564667 -.10229 | **| . | 0.048713 4 -2.155740 -.08598 | **| . | 0.049114
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5 -0.547917 -.02185 | . | . | 0.049396 6 -0.284390 -.01134 | . | . | 0.049414 7 -0.113342 -.00452 | . | . | 0.049419 8 -1.642954 -.06553 | .*| . | 0.049420 9 -0.683649 -.02727 | .*| . | 0.049582 10 0.286904 0.01144 | . | . | 0.049611 11 1.167439 0.04656 | . |*. | 0.049616 12 -0.752816 -.03003 | .*| . | 0.049697 13 -0.216080 -.00862 | . | . | 0.049732 14 -0.576761 -.02300 | . | . | 0.049734 15 -1.353442 -.05398 | .*| . | 0.049754 16 0.176571 0.00704 | . | . | 0.049864 17 -0.314842 -.01256 | . | . | 0.049866 18 -0.136950 -.00546 | . | . | 0.049872 19 -2.031798 -.08104 | **| . | 0.049873 20 -2.358793 -.09408 | **| . | 0.050119 21 -0.829795 -.03310 | .*| . | 0.050450 22 -0.269809 -.01076 | . | . | 0.050490 23 -0.343940 -.01372 | . | . | 0.050495 24 1.352226 0.05393 | . |*. | 0.050502 "." marks two standard errors Inverse Autocorrelations Lag Correlation -1 9 8 7 6 5 4 3 2 1 0 1 2 3 4 5 6 7 8 9 1 1 -0.36819 | *******| . | 2 0.04637 | . |*. | 3 0.06838 | . |*. | 4 0.02320 | . | . | 5 -0.01945 | . | . | 6 0.03675 | . |*. |
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The SAS System 13:45 Thursday, April 1, 2010 2 The ARIMA Procedure Inverse Autocorrelations Lag Correlation -1 9 8 7 6 5 4 3 2 1 0 1 2 3 4 5 6 7 8 9 1 7 -0.05176 | .*| . | 8 0.08205 | . |** | 9 -0.01687 | . | . | 10 0.00632 | . | . | 11 -0.05124 | .*| . | 12 0.08814 | . |** | 13 -0.03992 | .*| . | 14 -0.01415 | . | . | 15 0.08439 | . |** | 16 -0.06451 | .*| . | 17 0.06316 | . |*. | 18 -0.04796 | .*| . | 19 0.03475 | . |*. | 20 0.06371 | . |*. | 21 -0.02855 | .*| . | 22 -0.02088 | . | . | 23 0.07653 | . |** | 24 -0.06068 | .*| . | Partial Autocorrelations Lag Correlation -1 9 8 7 6 5 4 3 2 1 0 1 2 3 4 5 6 7 8 9 1 1 0.36234 | . |******* | 2 -0.11285 | **| . | 3 -0.08722 | **| . | 4 -0.01357 | . | . | 5 0.01346 | . | . | 6 -0.02581 | .*| . | 7 -0.00290 | . | . | 8 -0.07528 | **| . | 9 0.02532 | . |*. | 10 0.01280 | . | . | 11 0.02687 | . |*. | 12 -0.07733 | **| . | 13
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This note was uploaded on 02/21/2012 for the course ECON 500 taught by Professor Professor during the Fall '10 term at SUNY Buffalo.

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Lab Assignment 12 - 1 Read in the data from the external...

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