The data file oil5 contains quarterly observations on the price of oil from 1980Q1 to 2016Q1. a.

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The data file oil5 contains quarterly observations on the price of oil from 1980Q1 to 2016Q1.

a. Plot the observations.

b. Using data from 1980Q1 to $2015 \mathrm{Q} 2$, test whether the series is stationary or nonstationary. What is its order of integration?

c. Using information from part (b), the sample period 1980Q1 to 2015Q2, and other relevant criteria, specify and estimate an AR model for the price of oil.

d. Use the model estimated in part (c) to forecast the price of oil for 2015Q3, 2015Q4, and 2016Q1.

e. Find the percentage forecast errors for each of the forecasts made in part (d). Are your forecasts accurate?

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Principles Of Econometrics

ISBN: 9781118452271

5th Edition

Authors: R Carter Hill, William E Griffiths, Guay C Lim

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Question Posted: Apr 02, 2024 02:00 AM

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The data file oil5 contains quarterly observations on the price of oil from 1980Q1 to 2016Q1. a.

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Principles Of Econometrics

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