Question: Under an MSE loss function, assess all your results from the previous exercises 1 to 6, and choose the overall best model of the three

Under an MSE loss function, assess all your results from the previous exercises 1 to 6, and choose the overall best model of the three models AR(4), AR(5), and ARMA(2,4). For this model, compute the 1-step-ahead forecast and corresponding forecast errors under a recursive scheme and under a rolling scheme. With this information, compare the forecasts under the three schemes (fixed, recursive, and rolling) and comment on their similarities and differences.
From Exercise 5 (Chapter 8), U.S. GDP quarterly growth. You have already selected the best ARMA model. Go back to your results and choose the best two models. Complete the following for both models:

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Based on the results in Exercises 1 to 6 we choose the AR6 as the overall best model since it gives the smallest sample average loss For this model we ... View full answer

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