计量经济学代考| Econometrics of Time Series R language ECO310

时间序列预测的应用

• 时间序列预测用于股票价格预测，以预测每一天的股票收盘价。
• 电子商务和零售公司使用预测来预测不同产品的销售和销售单位。
• 天气预测是另一个可以使用时间序列预测的应用。
• 政府部门用它来预测一个州的人口，在任何特定地区，或整个国家。

时间序列成分

Q1：Use the following instructions in R to analyze the dataset given.

(a) Write the appropriate R code to load the dataset of ”air passengers” and check whether the dataset is in time series format.

(b) Write the appropriate R code to print the summary statistics of the dataset.

(c) Write the appropriate R code to create a time series plot of the dataset.

(d) Write the appropriate R code to plot the autocorrelation function (ACF).

(e)Write the appropriate R code to fit an AR(1) model using the built-in arima(.) function and print the estimated model.

(f) Write the appropriate R code to plot the series along with the fitted values obtained from your AR(1) prediction

Q2：Use the daily Shanghai composite index dataset given in the data.csv file in the learning mall under the R programming folder.

(a) Write the appropriate R code to calculate the log-returns from the daily adjusted close price series omitting the NaN values in the dataset.

(b) Write the appropriate R code to plot the histogram of log-returns with the normal density function superimposed in the plot.

(c) Write the appropriate R code to plot the partial autocorrelations of log-returns and squared logreturns what do you observe?

(d)Write the appropriate R code to identify the order of the AR model for the log returns and squared log-return time series given.

(e) Based on your results in pard (d) explain whether the results indicate any contradiction with the efficient market hypothesis.

Q3：Suppose that the simple return of a monthly bond index follows the MA(1) model

Rt = at + 0.2at−1, σa = 0.025.

Assume that a100 = 0.01.

(a) Compute the 1-step and 2-step ahead forecasts of the return at the forecast origin t = 100.

(b) What are the standard deviations of the associated forecast errors?

(c) Compute the lag-1 and lag-2 autocorrelations of the return series.

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