Homework 8
Contents
Homework 8¶
Tasks¶
Part 1¶
Use the data in data_clean.csv from this link
1.1
Divide the sample into train and test subsumples of 192 and 8 observations respectively.
select VAR orders p_aic and p_bic for the training sample according to AIC and BIC
Estimate VAR§ for p=p_aic and p=p_bic
Forecast variable ‘a’ 1 to 8 steps ahead with each VAR model
1.2
select ARMA(p,q) orders for variable ‘a’ using AIC and BIC (again for the training sample)
Estimate the selected ARMA(p,q) models using training sample.
Forecast 1 to 8 steps ahead with each ARMA model
1.3
Make a plot with variable ‘a’ showing the actual data for the full sample and the forecasts produced with each model.
Part 2¶
Use the data in sign_svar_data.txt from this link.
Follow the instructions and complete the tasks in HW8-part2.ipynb
Submission¶
Submit as jupyter notebooks in the folder HW8 in your repository at https://github.com/PhDEcon108.