The MA(2) model Yt = Î¼ + t + Î¸1t-1 + Î¸2t-2 was fit to data and

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The MA(2) model Yt = Î¼ + ˆˆt + Î¸1ˆˆt-1 + Î¸2ˆˆt-2 was fit to data and the estimates are

The last two values of the observed time series and residuals are

Find the forecasts of Yn+1 and Yn+2.

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Statistics And Data Analysis For Financial Engineering

ISBN: 9781461427490

1st Edition

Authors: David Ruppert

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Question Posted: Jun 24, 2016 06:28 AM

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The MA(2) model Yt = Î¼ + t + Î¸1t-1 + Î¸2t-2 was fit to data and

Question:

Parameter Estimate 45 01 0.3 00.15 n 139.8-4.3 42.71.5

Step by Step Answer:

Let t n 1 and from the form of Y t we see that Y n1 is given by Y ...View the full answer

Statistics And Data Analysis For Financial Engineering

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