Search the whole station

# 时间序列分析作业代写 predictive models代写 time series代写

## Assignment 3

The research question is : What are the best predictive models when forecasting stock market returns and inflation ? You can choose to work on US or Canadian data.

### 1 Data时间序列分析作业代写

Target variables :

— SP500 returns or TSX returns

— Inflation (CPI) : US or Canada

Big panel of predictors :

— US macro panel : directly from FRED. See McCracken et Ng (2016).

— CAN macro panel : directly from my webpage. See Fortin-Gagnon et al. (2018)

US data start in 1960 and Canadian data start in 1981. Both are in monthly frequency.

### 2 Preliminary analysis时间序列分析作业代写

1. Perform Box-Jenkins on both target variables. Which ARMA processes do you suggest for those two time series ? Justify.

2. Transform all data to be stationary. In fact, this is already done by McCracken and Ng (2016) and Matlab codes are available at FRED. In the case of Canadian data, you will find stationary panel in the zip file. Important : McCracken et Ng (2016) treat price indices as I(2) variables, hence they apply second difference. I suggest you to treat the target inflation series as I(0), in other words, construct CPI inflation as the first difference of logs of CPI index.

3. Analyse the factor structure of your panel of predictors (Xt) :

(a) Scree plot

(b) Trace plot

(c) Find the number of factors using ICp2 criterion of Bai and Ng (2002), and :

— Get the marginal contribution of each factor to the average R2 of the common component.

— For each factor, identify 5 most correlated series (in terms of marginal R2).

— Note : McCracken and Ng (2016) Matlab code in the zip file does most of it.

### 3 Forecasting exercise

3.1 Predictive models

1. Random walk without (RW) and with drift (RWD). RW is your benchmark model.

The next:

### Related recommendations

• #### 预测分析代写 Predictive Analytics代写 Homework代写

886

ISE 529 Predictive Analytics Homework  预测分析代写 1.Use the Boston dataset from datasets to fit the following models to predict the price of houses in the Boston area. Read boston.dat...

View details
• #### 运筹学练习题代写 IEOR 3402代写 时间序列代写 预测分析代写

457

IEOR 3402: More Practice Questions 运筹学练习题代写 1.We consider the forecasting of stationary time series, where each observation is represented by a constant plus a random fluctuation, i.e.,...

View details
• #### 计算机体系结构cs代写 I218代写 计算机体系结构作业代写

1044

I218 Computer ArchitectureReport 3 计算机体系结构cs代写 (1) In the textbook and lecture slides, detailed information in the pipeline registers (IF/ID, ID/EX, EX/MEM, MEM/WB) is not provided. ...

View details
• #### cs计算机体系结构作业代做 I218代写 计算机体系结构代写

951

I218 Computer ArchitectureReport 2 cs计算机体系结构作业代做 (1)How is the instruction “sub \$t9, \$s4, \$s7” translated to a machine instruction code? Answer the rs, rt, and rd fields in binary n...

View details
1