Econ 504 2 The FRED data site and forecasting environments questions I just need the answer for question 2 and question 3 in attached file.(The FRED data r
Econ 504 2 The FRED data site and forecasting environments questions I just need the answer for question 2 and question 3 in attached file.(The FRED data required in question#2 is from https://fred.stlouisfed.org.) Econ 504
Spring 2019
HW 2
Due to Shi by 9:30 a.m. on February 11
1.
a. Consider part (i) of Problem 1 of HW 1. Now use R to obtain the first three
sample autocorrelations. Mark them on your R output. Are these the same
numbers you got in your Excel spreadsheet in the answer to part (i) of Problem 1
in HW 1?
b. Based on the data in this part, is the variable considered here white noise?
Conduct both individual tests on the first thee autocorrelations and also a joint test
for the three. In each case clearly specify your null hypothesis, alternative
hypothesis, and your rejection criterion – explaining the conclusion of your test.
Use R for your answer.
2. From the FRED data site download data on U.S. civilian unemployment rate (monthly,
seasonally adjusted) in Excel for the entire period for which the data are available.
a. How is the civilian unemployment rate defined? What is the source of the FRED
data? Check out there (i.e., at the source) at what dates the corresponding
monthly unemployment rates for the months of February, March, April, and May
of 2019 will be released.
b. What were the civilian unemployment rates in November and December of 2018?
c. Plot the series in R. What was the highest unemployment rate in the series and
when (what month and year) did it happen? When was the unemployment rate at
its lowest and what was the rate?
d. Consider the same monthly unemployment data but for years 2001 through 2018
only. Generate the correlogram of the data in R. Comment on the characteristics
of the correlogram, if any.
3. Consider the following forecasting environments. In each case describe the nature of
losses from forecast errors. Do you think the loss function is approximately symmetric?
a. Suppose you are a weather forecaster at a TV station for your city. You forecast
the probability of rain the following day among other things. You know that
people hate to be caught up in rain unprepared. You also know that they feel less
irritated than in the former situation if they carried an umbrella based on the day’s
forecast but the rain never materialized. And, of course, you do care how your
viewers feel about your forecasts, because your job and salary depend on viewers’
ratings.
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b. Your forecast project involves projecting water flows in a river in order to
determine the height of the dam that is going to be built.
c. A person is trying to project his post retirement expenses. Based on that he will
determine how much money from his current earnings he will have to set aside.
4. Slide # 17 of lecture note 6_MA processes claims that the two processes on the slide have
the same ACF. Derive the ACFs of the two processes. Are the ACFs the same?
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