Question: This exercise requires a computer program to carry out the multiple regression calcula tions.] Using the data of Exercise 11 on housing starts, estimate autoregressive
This exercise requires a computer program to carry out the multiple regression calcula tions.] Using the data of Exercise 11 on housing starts, estimate autoregressive models of orders through 4. Use the method of Section 17.9 for testing that the order of the autore- gression is (p-1) against the alterative that the order is p. with a significance level of 10%. Select one of these models, and calculate forecasts of housing starts for the next 5 years. Draw a time plot showing the original observations together with the forecasts. Would different forecasts result if a significance level of 5% were used for the tests of autoregressive order?
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