Question: For the AR(4), AR(5), and ARMA(2,4), construct the optimal forecast, forecast errors, and density forecast under Linex loss function.

For the AR(4), AR(5), and ARMA(2,4), construct the optimal forecast, forecast errors, and density forecast under Linex loss function.

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The forecasting environment is described as follows Forecast horizon 1stepahead forecast h 1 thus we are interested in the forecast of the next quarter growth of the San Diego house price Information ... View full answer

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