Postscript version of these notes
STAT 804
Assignment 4
- 1.
- Derive formulas for the L-step ahead forecast standard error for the
AR(1) model
and for the ARIMA(1,1,0) model
.
Compute the limits of the forecast standard
errors for these two models as La tends to infinity.
- 2.
- Delete the last 4 values for the earnings data set and
use the model you selected in the previous assignment to re-estimate
the parameters and forecast the deleted values. Compare the actual
errors with the forecasts and the forecast standard errors.
- 3.
- For the dataset faketrend in the usual directory
(ASCII here )
remove a
trend by ordinary least squares. Then fit the model you used with
fake in the previous assignment to the residuals. Use the
autocovariance of the fitted to re-estimate the trend by
generalized squares. Does the fit change much?
Richard Lockhart
1999-10-12