Question

Consider the Consumer Price Index (CPI), which provides the annual percentage change in consumer prices. The data are in the file P02_19.xlsx.
a. Find the first six autocorrelations of this time series.
b. Use the results of part a to specify one or more promising auto regression models. Estimate each model with the available data. Which model provides the best fit to the data?
c. Use the best auto regression model from part b to produce a forecast of the CPI in the next year. Also, provide a measure of the likely forecast error.



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  • CreatedApril 01, 2015
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