本次代写是一个R语言时间序列模型的assignment

1. Consider the conventional 30-year mortgage rate of U.S. from June
1976 to March 2007. The data are obtained from Federal Reserve Bank
at St Louis. Take the natural log transformation of the mortgage rate to
build a time series model for the series. Perform model checking using
Q(12) for residuals. Write down the fitted model. Use the fitted model
to produce 1-step to 4-step ahead forecasts at the forecast origin March,
2007. (all tests are based on the 5% significance level) [The data format
is (year, mm, dd, rate).]

2. Recall the monthly simple returns of the Decile 1 portfolio from
January 1980 to December 2006. Use seasonal model to analyze the
Deceile 1 returns. The model is a multiplicative seasonal model as
ARIMA(0,0,1)(1,0,1) with period 12. Perform model checking on the
fitted model, e.g., compute Q(24) of the residuals. Is the model ade
quate? Write down the fitted model. (all tests are based on the 5%
significance level)

3. Consider the quarterly earnings per share of the Alcoa stock from
the 4th quarter of 1991 to the most recent quarter. Note that some
earnings are negative. Build a model for the earning series. Perform
model checking to ensure that the model is adequate using Q(12) of the
residuals. Use the model to produce 1-step to 4-step ahead forecasts.
(all tests are based on the 5% significance level) 2


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