Question: Consider the same MA(2) process in exercise 4. a. Estimate an MA(2) process with the artificial data generated in exercise 4. Comment on the differences

Consider the same MA(2) process in exercise 4.
a. Estimate an MA(2) process with the artificial data generated in exercise 4. Comment on the differences with the theoretical model.
b. Compute the 1, 2, and 3-step ahead forecasts. Your information set contains information up to time t. It may be useful to know that e, = 0.4, εt = – 1.2.

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a We present a simulated time series from the MA 2 process y t 0 7 2 t 1 1 35 t 2 t in Figure 8 The series is very ragged because of the negative auto... View full answer

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