Tables 14.4.9 and 14.4.10 show basic computer results from a BoxJenkins analysis of yields on three-month U.S.
Question:
a. What kind of process has been fitted?
b. Write the model in a way that shows how the next observation is determined from the previous one.
c. Which estimated coefficients are statistically significant?
d. Draw a time-series plot of the original data (from Table 14.1.5), the forecasts, and the forecast limits.
e. Comment on these forecasts and forecast limits.
Transcribed Image Text:
TABLE 14.4.9 Basic Results of a Box-Jenkins Analysis of U.S. Treasury Bill Interest Rates Standard Coefficient Estimate Error tRatio p-Value Autoregres 0.6901 0.1347 5.12 0.000 sion Moving average Constant Mean -0.7438 0.1164 -6.39 0.000 1.6864 0.3953 4 0.000 5.441 1.275
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