4. Consider the monthly log returns of U.S. CRSP equal-weighted index from January 1962 to December 1999 for 456 observations. The data le is m-ew6299.txt.
(a) Build an AR model for the series. Check the estimated model. Is the estimated model a good/adequate model? Write down the estimated model.
(b) Build an MA model for the series. Check the estimated model. Is the estimated model a good/adequate model? Write down the estimated model.
(c) Build an ARMA model for the series and check whether the model is the same as the model in part (a) or part (b).
(d) Compute 1- and 12-step-ahead forecasts of the AR and MA models built in part (a) and part (b). Are the forecasts in the AR and MA models similar?

Here is the data below

-0.792..........................1.532
-0.596.........................-7.049
-10.319.........................-8.880
6.183............................3.666
-6.603.........................-4.050
11.430.........................-2.593
8.539.........................-1.459
1.196.........................2.653
3.180.........................-1.043
-0.632.........................4.144
-1.042.........................1.214
-1.627.........................-0.424
3.159.........................2.486
2.519.........................0.100
0.748.........................1.036
2.971.........................-0.606
3.754.........................1.865
-0.052.........................-1.244
6.897.........................3.181
1.527.........................4.072
-0.587.........................-8.743
2.823.........................4.099
2.705.........................5.702
4.549.........................4.208
6.220.........................2.845
-0.893.........................4.557
-8.995.........................-0.500
-1.645.........................-10.615
-1.833.........................-1.449
3.991.........................1.716
15.880.........................4.150
5.661.........................4.107
-0.813.........................7.877
7.997.........................0.629
6.106.........................-2.080
0.088.........................7.738
2.362.........................-5.776
-1.128.........................13.368
8.738.........................1.609
-2.656.........................3.529
6.655.........................0.689
6.952.........................0.588
-0.169.........................-8.963
2.009.........................0.345
0.624.........................-12.036
-10.073.........................5.086
-2.493.........................8.850
-5.666.........................-6.847
-3.960.........................3.941
-2.400.........................-17.669
-9.488.........................-7.677
5.757.........................5.980
11.876.........................-6.039
0.302.........................7.818
12.760.........................4.680
5.506.........................2.673
-5.070.........................-1.739
-5.512.........................4.034
-0.466.........................-5.919
-3.475.........................11.076
9.884.........................4.096
-0.095.........................0.123
-1.829.........................-3.435
-2.993.........................1.218
-3.121.........................-1.387
4.984.........................-2.007
-2.652.........................-7.564
-2.943.........................-7.327
-8.730.........................-3.849
10.069.........................-4.541
7.046.........................0.031
-19.264.........................-4.272
12.430.........................0.857
0.835.........................-5.711
-7.533.........................-3.406

Answer rating: 100% (QA)

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