Question description
Use Ydata.xlsx file posted for this problem. You will estimate a model for variable y based on data for the period July 1988 – December 2017 and then use the estimated model to forecast the value of y for January 2018 – June 2018.
a. Using EViews, plot the data for the estimation period. Also, plot the corresponding correlogram.
b. Using EViews, estimate an MA(1) model based on data for the period July 1988 – December 2017. Present EViews output on the estimated model. c. Use the estimated model to derive optimal point and interval (95%) forecasts of y for the period January 2018 – June 2018. What are corresponding standard errors of forecasts (SEF)? Show your work. (Derive your results. Do not use formulae.)
d. Now use EViews, to make point forecasts of y for the same forecast period. Present a table of these forecasts and their standard errors from EViews assuming no estimation error uncertainty. Compare your results with the point forecasts and the standard errors of those forecasts you calculated in part (c ).
e. Using EViews, provide a plot of the forecasts in (d) along with 95% forecast intervals and the true values of y for the forecast period. Comment on your forecasts. f. Derive the 80th percentile of your forecast distribution for June 2018. g. What is the probability that the value of y in January 2018 will be less than 1? Show your work.
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