Description

1. (xt − µ) = φ1(xt−1− µ) + εt 2. xt − µ = εt + θ1εt−1
3. (1 − φ1B)∆xt = (1 + θ1B)εt
• (III) For the following models, simulate 400 observations, estimate the model, obtain 1-step ahead to 12-step ahead predictions and their standard errors, and plot the last 24 observed observations with the predictions and their 95% confidence intervals.
1. (xt − 20) = −0.7(xt−1− 20) + εt, εt ∼ N(0,52).
2. (1 − 1.4B + 0.48B2)(xt − 20) = (1 + 1.2B + 0.35B2)εt, εt ∼ N(0,52).
3. (1 − 0.8B)∆xt = (1 + 0.6B)εt, εt ∼ N(0,52).
4. (1 − B12)xt = (1 + 0.8B)(1 + 0.8B12)εt, εt ∼ N(0,52).
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