Write the model given in an equation form

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Reference no: EM131964085

Problem

Answer using STATA and send completed stata file showing all commands with the completed answers. The data set is attached.

Data setDowJones.dtacontains Dow Jones Industrial Average (dj) from April 19th2013 to April 18th2018.

1. Plot the data.

2. Find the autocorrelations for 5 lags

3. According to plots and autocorrelations given above, is DowJones Industrial Average (DJ) stationary? Explain your answer.

4. Run an AR(2) model for this series.

5. Write the AR(2) model above in equation form (use 3 decimal points only)

6. Now try an AR(1) model in changes for dj.

7. Write the model above in an equation form (use 3 decimal points)

8. Now try AR(2) model.

9. Write the AR(2) model in equation form using 3 decimals only.

10. In order to find out whether AR(1) or AR(2) models the changes in Dow Jones Industrial.

Average better, calculate both predicted values and errors. (i.e. using the results from (f)- (i), calculate the predicted change on April 18th2018 and compare both to the actual change)

Attachment:- Dowjones.rar

Reference no: EM131964085

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