In Example 6.14 (US unemployment), fit model A with an unknown variance for the level shifts (v_{t}).
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In Example 6.14 (US unemployment), fit model A with an unknown variance for the level shifts \(v_{t}\). How does this affect the ratio of maximum to minimum CPO?
Data from Example 6.14
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As an illustration of models allowing both mean and variance shifts, consider a US unemploy- ment time series with six month average percent rates U, transformed (both variance stabilised and differenced) according to y=100 x In(1 + U+1/100) 100 x In(1 + U/100).
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