文档介绍：I. Exponential Smoothing
A. The Federal Funds Rate
This first exercise uses the workfile Federal , which we used in Lab Four, and which has been updated and contains 245 weekly observations of the Federal Funds Rate, FFR(t). The series is weekly and is dated on the Monday after the Friday observation of the weekly closing observations range from 1/06/92 through 3/24/97 . Recall that the first difference of the FFR, DFFR, is an MA(1) process, and that the recursive formula for simple exponential smoothing of a time series, y(t), imposes an MA(1) structure on the first difference of this series, .
∆y(t) = e(t) - (1-a)y(t-1).
Hence, an exponential smoothing forecast of the Federal Funds Rate should be appropriate.
Open Eviews
File Menu/Open: ( in the Lab Eight Folder)
Workfile Window: Select ffr
Workfile Menu: VIEW: • open selection; you will see the spreadsheet view Series Window: VIEW: • graph
Series Window: VIEW: • histogram and stats
Series Window: VIEW: • correlogram: level, 36 lags
Series Window: VIEW: • unit root test, one lag, intercept, no trend
Note: ffr is evolutionary
Workfile Menu: GENR
dffr=ffr-ffr(-1)
Workfile Window: Select dffr
Workfile Menu: VIEW: • open selection; you will see the spreadsheet view Series Window: VIEW: • graph
Series Window: VIEW: • histogram and stats
Series Window: VIEW: • correlogram: