Econ 3P92 Assignment 2 (1)

Econ 3P92 Assignment 2 (1) - N 9 10 0.574832 0.035223...

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Unformatted text preview: N 9 10 0.574832 0.035223 0.077283 0.190149 0.060791 0.009404 0.094017 11 12 8 0.050469 0.142770 0.134356 13 17 I3 14 16 18 19 20 0.107370 0.079113 0.095819 0.053199 0.042314 0.018348 0.007274 -0.028516 0.200249 -0.015551 21 22 28 29 30 -0.056823 0.048620 0.036716 0.061120 0.025292 —0.012043 0.020630 -0.000524 0.158528 -0.006557 31 32 —0.005626 0.064496 23 24 25 26 27 acf of residuals _mlJfidefij"JJJJjjj 34 567 8910711213141515‘17‘1819 January Blue columns exceed the upper line, so it does not satisfy white noise. 20 Appendix cal(scvenday} 199821;! all 1998:1231 open data hits.dat data(fonna1=pm,org=columns) 1998:121 1998:9228 set time : t set time2 = t**2 set loghits : log(hits) iinrcg hits 1998:1:1 1998.928 # constant time set fitted 1998:] :I 1998:9:28 : hits -%resids set actual 1998:121 1998:9:28 = hits compute AlC = 2*%nreg/%nobs + log(%rssfi%nobs) compute SIC : %nreg*log(%nobs)/%nobs + log(%rss/%nobs) dis aic dis sic graph(overlay=1ine,ovrange=.5,0vcount=2, vlabel="Residuals",ovlabel="ActualiFitted"} 3 # %resids # actual it fitted linreg hits l998:1:1 1998:9123 # constant time time2 compute AIC = 2*%nreg/%nobs + log(%rss/%nobs) compute SIC = %nreg*log(%nobs)/%nobs + log(%rssf%nobs} dis aic dis sic set fitted 19981121 1998:9223 = hits -%resids set actual 1998:]:1 1998:9r28 = hits graph(overlay=line.ovrange=.5,ovcount=2. v1abc1="Residua]s”,ovlabel:"Actua1fFitted"J 3 # %resids # actual # fitted linreg loghits 1998:1:1 1998:9z28 ti constant time compute AIC = 2*%nregf%nobs + log(%rss/%nobs) compute SIC = %nreg*log(%nobs)/%nobs + log(%rss/%nobs) dis aic dis sic set fitted 1998:]:1 1998:9211 =10ghits -%resids set actual 1998:1 :1 1998:9211 =1oghits graph(overla):1ine,ovrange=.5,0vcount=2, v1abe1:"Residuais",ov1abe1="Actua1/F itted") 3 # %resids # actual # fitted gTapii(footer="Hits per day") # hits set monday = %weekday(t)=1 set tuesday = %weekday(t)==2 set wednesday = %weekday(t)=3 set thursday = %weekday(t)==4 set friday = %weekday(t):5 set saturday = %weekday(t)=6 set sunday = %weekday(t)=7 1integ hits 1998:1:1 1998:9228 # time monday tuesday wednesday thursday friday saturday sunday set sfactors 1 7 I %beta(t) graph(footer="Estimated Seasonal Factors: Housing Starts",nodates,sty1e=bargraph) # sfactors set y1998 = %month(t)==1998:10 1998:12 linreg hits 1998:]:1 19982928 # time monday tuesday wednesday thursday friday saturday sunday prj(stderrs=stclerrs) htrend 1998:9:28 1998: 1 2:31 set upperq 19981928 1998;12:31 = htrend+1.96*stderrs set lowerq 1998:9:28 1998:1231 = htrend-1.96*stderrs print I htrend graph(footer=" Hits with Quadratic Trend Forecast",shading=yl998) 4 # hits 1998:121 1998:9:28 it htrend ii upperq / 3 # lowerq I 3 ...
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