Consider the same MA(2) process in exercise 4. a. Estimate an MA(2) process with the artificial data
Question:
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 the full answer
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Related Book For 
Forecasting for Economics and Business
ISBN: 978-0131474932
1st edition
Authors: Gloria Gonzalez Rivera
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