Timed test Economic forecasting

Review for Exam III--Chapter 8 and Chapter 9

Chapter 8

1. Autocorrelation

· Consequence

· Test for autocorrelation: Durbin Watson Test

· Solution for autocorrelation

2. Regression with differences

· Regression estimation

· Checking on autocorrelation of residuals

· Forecast

3. Regression with seasonal data using dummy variables

Chapter 9

1. Components of ARIMA model: AR, I, and MA

2. Fitting ARIMA model

· Model identification

· Time series plot

· Autocorrelation graph

· Partial autocorrelation graph

· Model estimation

· Model checking

· Mean Squares (MS)

· Ljung-Box Q statistics, Chi-squared test

· Checking residuals

· forecast

3. Fitting ARIMA model with seasonal data