Question: B - Write a code that does the following. a) Fetch the data for real GDP (GDPC1) from Fred. b) Compute quarterly growth rates. (quarter-on-quarter
B - Write a code that does the following. a) Fetch the data for real GDP (GDPC1) from Fred. b) Compute quarterly growth rates. (quarter-on-quarter growth rate, annualized, expressed in percentage units) c) Using data from 1969Q1 until 2020Q4 estimate an AR(3) model. d) Produce a forecast for 2021Q1-2021Q4. Make the code report a table with the point forecast and the standard error. e) For 2021Q1-2021Q3 produce the 99% confidence interval for GDP growth. Are the realizations inside the bands? If not, compute the probability that the true GDP growth is less than the realized number. (For example suppose the true GDP growth is -10% and your confidence bands are between -8% and 10%. Clearly the true GDP growth is outside these bands. Now compute, based on the forecast you produced, the probability that GDP growth is less than -10%.)
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