Econ 3355
Spring 2016
(Take-Home Team) Quiz 5
30 points
• Assignment Date: Thursday, April 7
• Due Date: Thursday, April 14
Introduction
Five nonseasonal time series (Data Series A through Data Series E) are available on the website.
Your goal is to
(1) Identify as many contending ARIMA models as possible that could be fit to the series since
they satisfy two basic modeling criteria:
• Pass white-noise residuals tests (clean ACF/PACF, large P -values for portmanteau chisquare tests for autocorrelation)
• All model terms are significant (at 5%.)
(2) Then choose a final model from the contenders, possibly based on two other criteria:
• Lowest AIC
• More parsimonious models (simpler models with fewer parameters to estimate) are preferred, whenever possible.
Justify your model choice!
(3) Report the model and initial forecasts:
• Report the explicit fitted model equation:
Yt = . . .
• Report the forecast equation:
Ybt+1 = . . .
• Report the numerical JMP simple forecast and 95% forecast for the first future time
period.
(4) Show supporting JMP output for the chosen model, such as:
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•
•
•
Model summary
Parameter estimates
Forecast graph
Residuals ACF/PACF plot
Team Work
1. Present your model results to the class and take questions from the class (10 minutes) for a
data series randomly selected by Prof. Whitten.
2. Write a written report (for all five data series), to be uploaded to the Quiz 5 ICON Dropbox
before the presentation begins.
Grading
Your team is graded on both the written answers and oral presentation for your team’s randomlyselected data series only.