08_ts_dataana - Data Estimation Forecasting Analysis of...

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Data Estimation Forecasting Analysis of U.S. Unemployment Rates AMS316, Stony Brook University Data Estimation Forecasting Outline 1 Data: Monthly unemployment rates in Dallas County 2 Estimation procedure 3 Forecasting AMS316, Stony Brook University
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Data Estimation Forecasting Monthly unemployment rates in Dallas County Jan ! 80 Jan ! 85 Jan ! 90 Jan ! 95 Jan ! 00 Jun ! 05 4 6 8 10 12 14 16 18 Figure 1: Monthly unemployment rates (in %) in Dallas County, Arizona, from January 1980 to June 2005. The data are obtained from the Website www.Economagic.com AMS316, Stony Brook University Data Estimation Forecasting ACFs and PACFs ! 0.2 0 0.2 0.4 0.6 0.8 5 10 15 20 25 ! 0.2 0 0.2 0.4 0.6 0.8 Figure 2: ACF (top panel) and PACF (bottom panel) of the unemployment rate. The dashed lines represent rejection boundaries of 5%-level tests of zero ACF and PACF at indicated lag. AMS316, Stony Brook University
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Data Estimation Forecasting Splitting the time series We split the time series into a training sample of historical data from January 1980 to December 2004 and a second sample of “test data” from January to June 2005. The second sample is used to measure the performance of the out-of-sample forecasts developed from the training sample.
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This note was uploaded on 02/28/2012 for the course AMS 316 taught by Professor Xing during the Fall '09 term at SUNY Stony Brook.

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08_ts_dataana - Data Estimation Forecasting Analysis of...

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