Least squares regression , Econometrics

The tab-delimited text file C359A1S1Q2.txt contains daily prices for the South Korean Stock Exchange Index (KOSPI) from 4/7/2006 (observation 1) to 11/6/2010 (observation 977). Although this is daily data, the data are presented as a sequence of 977 undated observations. The data were obtained from yahoo finance.

a) Build an AR/MA/ARMA model for the daily log returns, explaining the reasons for your choice of model specification. In your answer, present and explain the steps you take to develop the model; present and interpret the estimated model for the final specification you choose; and present and explain the results of any diagnostic testing you consider is appropriate.

b) Is Least Squares (LS) regression suitable for estimation of the model you obtain in Q2a? Explain your answer. If LS is not suitable, what estimation method do you suggest is suitable, and why?

c) Use the ARMA model to produce forecasts for the final 30 days of the sample for the process you obtain in Q2a. Evaluate the forecast performance of your model.

(Assignment Guidance: You will need to re-estimate the chosen model over a shorter estimation period, excluding the final 30 observations. Then use this estimated model to obtain forecasts for the forecasting sample of 30 days. In Eviews, please select the Option Dynamic in the forecast window).

 

Posted Date: 3/12/2013 6:36:17 AM | Location : United States







Related Discussions:- Least squares regression , Assignment Help, Ask Question on Least squares regression , Get Answer, Expert's Help, Least squares regression Discussions

Write discussion on Least squares regression
Your posts are moderated
Related Questions
what are factors contributing to the long run trend interms of trade of developing countries?

Greenstone Coffee is experiencing financial pressures due to increased competition for its numerous urban coffee shops. Total sales revenue has dropped by 15% and the company wishe

i) Briefly distinguish between the Cournot duopoly model and that of Stackelberg.     ii) Suppose the  inverse  market demand curve for  a telecommunications equipment is P = 10

I have a project and I need help with the writing. I have the data and the SPSS regression, park test

A thick walled cylinder has internal and external diameters of 120 mm and 420 mm respectively. It is made from a ductile elastic material of your choice and is used to contain hot

My question is that when we use Impulse response function and how to use it. Is it used along with some other methodology. What is the meaning of graphs of IRF?


Hi I am currently working on my econometrics coursework which is to replicate a published paper. I was given the same data set as the paper and suppose to get the same answer as th

This problem refers to Doughtery's Educational Attainment and Earnings Functions (EAEF) data set, accessible through the course website. This data is a subset of the U.S. National

The following regression was estimated to explain the inflation rate in the USA.  The data set contains annual observations from 1970 to 2010.       Inft  =  2500 +   50*Xt  +