文档介绍：I. Simulation of an Autoregressive Process of Order One, AR(1)
Open Eviews
Object Menu: New
Workfile Object: “Autoregressive”
Frequency: • undated
observations: 1 1000
Workfile Menu: GENR
“WN=NRND”
Workfile Menu: GENR
“ARONE=WN”
sample 1 1
Workfile Menu: GENR
“ARONE= *ARONE(-1)+WN”
sample 2 1000
Workfile Window: Select ARONE WN
Workfile Menu: VIEW: • open selection; you will see the spreadsheet view
Group Window: VIEW: • graph
Workfile Window: Select ARONE
Workfile Menu: VIEW: • open selection
Group Window: VIEW: • histogram and stats
Group Window: VIEW: • correlogram: level, 36 lags
EXERCISE: Fit a model to ARONE and show that the residuals from the model are white noise. Due in one week.
II. Identifying and Modeling Autoregressive Time Series: The Change in Business Inventories
Lab #3 includes modelling “the change in business inventories”, CBUSIN87. This is a quarterly series in billions of 1987 dollars. Your series begins in the first quarter of 1954 and ends in the fourth quarter of 1997. Plot, identify and model the series. Use the model to forecast the change in business inventories for the first quarter of 1998. What is the standard error for your forecast?
This series was obtained from Business Conditions Digest and the Survey of Current Business. The series in billions of 1982 dollars for 1954 though 1985 was obtained