410 - ShubhiGupta - TSA - 2 - Shubhi Gupta

Name : Shubhi Gupta
Roll No. : 410

PGDM R&BA
ASSIGNMENT - 2
SUBJECT- TSA
FRANCE GDP DATA
France GDP
480,000
440,000
400,000
360,000
320,000
280,000
240,000
200,000
160,000
1975 1980 1985 1990 1995 2000 2005 2010 2015
France GDP data for the year 1975-2019 is not stationary as seen from the line graph above.
Calculating Log of gdp data, we get LGDP which is then plotted as line graph as follows:
LGDP
13.2
13.0
12.8
12.6
12.4
12.2
12.0
1975 1980 1985 1990 1995 2000 2005 2010 2015
1|Page
After this we will calculate the first difference of the data by the equation=
DLGDP= LGDP -LGDP(-1)
The graph of first difference of log of France GDP DATA is DLGDP and is as follows:
DLGDP
.05
.04
.03
.02
.01
.00
-.01
-.02
-.03
1975 1980 1985 1990 1995 2000 2005 2010 2015
Here we can see that DLGDP is stationary.
Now we will make correlogram of DLGDP:

Date: 12/15/20 Time: 12:52
Sample (adjusted): 1975Q2 2019Q4
Included observations: 179 after adjustments
Autocorrelation Partial Correlation AC PAC Q-Stat Prob
1 0.228 0.228 9.4260 0.002

2 0.283 0.244 24.126 0.000
3 0.192 0.099 30.927 0.000
4 0.035 -0.091 31.152 0.000
5 0.023 -0.047 31.249 0.000
6 0.008 0.008 31.261 0.000
7 0.061 0.089 31.954 0.000
8 -0.033 -0.056 32.157 0.000
9 0.034 0.013 32.381 0.000
10 0.012 0.005 32.408 0.000
11 -0.059 -0.064 33.070 0.001
12 -0.094 -0.101 34.779 0.001
13 -0.047 0.012 35.208 0.001
14 -0.137 -0.077 38.877 0.000
15 -0.019 0.063 38.951 0.001
16 -0.062 -0.031 39.716 0.001
17 0.011 0.046 39.739 0.001
18 -0.051 -0.060 40.269 0.002
19 0.025 0.047 40.394 0.003
20 -0.078 -0.098 41.638 0.003
21 -0.052 -0.003 42.196 0.004
22 0.073 0.115 43.294 0.004
23 -0.114 -0.110 45.975 0.003
24 -0.032 -0.067 46.192 0.004
25 -0.049 -0.019 46.697 0.005
26 -0.066 -0.028 47.613 0.006
27 -0.029 0.033 47.790 0.008
28 0.010 0.025 47.812 0.011
29 -0.114 -0.145 50.642 0.008
30 -0.094 -0.067 52.582 0.007
31 -0.136 -0.079 56.610 0.003
32 -0.036 0.060 56.889 0.004
33 0.018 0.141 56.962 0.006
34 -0.018 -0.048 57.037 0.008
35 0.088 0.028 58.762 0.007
36 0.008 -0.019 58.777 0.010
2|Page
ACF is significant at 3 lag values and Pacf is significant at 2 lags.
AR(2) and Ma(3)
We will check equations at ARIMA(p,d,q) combining various lag values at which ACF and PACF are
significant.
(0,1,1) (0,1,2) (0,1,3)
(1,1,0) (1,1,1) (1,1,2) (1,1,3)
(2,1,0) (2,1,1) (2,1,2) (2,1,3)
ARIMA(0,1,1)
Dependent Variable: DLGDP

Method: ARMA Conditional Least Squares (Gauss-Newton / Marquardt
steps)
Date: 12/15/20 Time: 13:07
Failure to improve likelihood (non-zero gradients) after 8 iterations
Coefficient covariance computed using outer product of gradients
MA Backcast: 1975Q1
Variable Coefficient Std. Error t-Statistic Prob.
C 0.005356 0.000674 7.946267 0.0000

MA(1) 0.166269 0.074018 2.246328 0.0259
R-squared 0.037199 Mean dependent var 0.005375

Adjusted R-squared 0.031760 S.D. dependent var 0.007864
S.E. of regression 0.007738 Akaike info criterion -6.874181
Sum squared resid 0.010599 Schwarz criterion -6.838568
Log likelihood 617.2392 Hannan-Quinn criter. -6.859740
F-statistic 6.838708 Durbin-Watson stat 1.903164
Prob(F-statistic) 0.009690
Inverted MA Roots -.17
3|Page
ARIMA(0,1,2)

steps)
Date: 12/15/20 Time: 13:10
MA Backcast: 1974Q4 1975Q1
C 0.005325 0.000788 6.754007 0.0000

MA(1) 0.096372 0.069118 1.394301 0.1650
MA(2) 0.316171 0.070027 4.514958 0.0000

Inverted MA Roots -.05+.56i -.05-.56i
ARIMA(0,1,3)
steps)
Date: 12/15/20 Time: 13:13
C 0.005310 0.000943 5.630382 0.0000

MA(1) 0.167634 0.071608 2.340977 0.0204
MA(2) 0.336082 0.068493 4.906781 0.0000
MA(3) 0.225765 0.073242 3.082479 0.0024

Inverted MA Roots .15-.68i .15+.68i -.47
4|Page
ARIMA(1,1,0)
steps)
Date: 12/15/20 Time: 13:15
Convergence achieved after 2 iterations
C 0.005528 0.000730 7.571725 0.0000

AR(1) 0.227836 0.071726 3.176470 0.0018

Inverted AR Roots .23
ARIMA(1,1,1)

steps)
Date: 12/15/20 Time: 13:16
MA Backcast: 1975Q2
C 0.005617 0.000949 5.922107 0.0000

AR(1) 0.675611 0.150056 4.502393 0.0000
MA(1) -0.450151 0.184191 -2.443935 0.0155


Inverted MA Roots .45
1|Page
ARIMA(2,1,0)
steps)
Date: 12/15/20 Time: 13:18
C 0.005574 0.000907 6.147907 0.0000

AR(1) 0.340477 0.150229 2.266381 0.0247
MA(1) -0.231180 0.148235 -1.559556 0.1207
MA(2) 0.343529 0.074273 4.625239 0.0000


Inverted MA Roots .12+.57i .12-.57i
ARIMA(1,1,3)
steps)
Date: 12/15/20 Time: 13:20
C 0.005491 0.000925 5.936001 0.0000

AR(1) 0.092257 0.239291 0.385545 0.7003
MA(1) 0.056346 0.242999 0.231878 0.8169
MA(2) 0.341387 0.072465 4.711062 0.0000
MA(3) 0.170123 0.108044 1.574576 0.1172


Inverted MA Roots .16+.66i .16-.66i -.37
2|Page
ARIMA(2,1,0)
steps)
Date: 12/15/20 Time: 13:22
Convergence achieved after 2 iterations
C 0.005614 0.000929 6.044426 0.0000

AR(1) 0.160866 0.073332 2.193680 0.0296
AR(2) 0.247259 0.071712 3.447963 0.0007

Inverted AR Roots .58 -.42
ARIMA(2,1,1)

steps)
Date: 12/15/20 Time: 13:24
MA Backcast: 1975Q3
C 0.005593 0.001019 5.486383 0.0000

AR(1) 0.380272 0.267416 1.422025 0.1568
AR(2) 0.202561 0.101690 1.991948 0.0479
MA(1) -0.228392 0.271864 -0.840095 0.4020

Inverted AR Roots .68 -.30

Inverted MA Roots .23
3|Page
ARIMA(2,1,2)
steps)
Date: 12/15/20 Time: 13:28
C 0.005488 0.000690 7.953148 0.0000

AR(1) 0.054122 0.101185 0.534878 0.5934
AR(2) -0.469043 0.088727 -5.286330 0.0000
MA(1) 0.005127 0.058808 0.087175 0.9306
MA(2) 0.860114 0.053163 16.17877 0.0000

Inverted AR Roots .03-.68i .03+.68i

Inverted MA Roots -.00-.93i -.00+.93i
ARIMA(2,1,3)
steps)
Date: 12/15/20 Time: 13:29
C 0.005471 0.000708 7.721852 0.0000

AR(1) -0.372871 0.092008 -4.052573 0.0001
AR(2) -0.637624 0.061678 -10.33798 0.0000
MA(1) 0.501106 0.113792 4.403683 0.0000
MA(2) 0.997419 0.034301 29.07869 0.0000
MA(3) 0.281417 0.100000 2.814164 0.0055

Inverted AR Roots -.19-.78i -.19+.78i

Inverted MA Roots -.10+.96i -.10-.96i -.30
4|Page
So, making the table for different models -
ARIMA (0,1,1) (0,1,2) (0,1,3) (1,1,0) (1,1,1) (1,1,2)

AdjR2 0.037199 0.094410 0.134061 0.048847 0.077040 0.134300
AIC -6.874181 -6.935567 -6.974864 -6.931234 -6.955784 -7.014327
SBIC -6.838568 -6.882147 -6.903638 -6.895483 -6.902159 -6.942826
ARIMA (1,1,3) (2,1,0) (2,1,1) (2,1,2) (2,1,3)

AdjR2 0.138362 0.099133 0.097871 0.181190 0.217031
AIC -7.013558 -6.981892 -6.974956 -7.066359 -7.105649
SBIC -6.924182 -6.928059 -6.903179 -6.976638 -6.997983
On viewing Residual diagnostics of the ARIMA(0,1,1) and correlogram is as follows:

Date: 12/15/20 Time: 14:02
Q-statistic probabilities adjusted for 1 ARMA term
1 0.026 0.026 0.1252

2 0.258 0.257 12.305 0.000
3 0.152 0.151 16.578 0.000
4 0.006 -0.066 16.586 0.001
5 0.024 -0.060 16.689 0.002
6 -0.006 -0.015 16.696 0.005
7 0.070 0.097 17.630 0.007
8 -0.052 -0.042 18.133 0.011
9 0.041 0.000 18.452 0.018
10 0.014 0.016 18.488 0.030
11 -0.047 -0.044 18.921 0.041
12 -0.085 -0.114 20.325 0.041
13 -0.011 0.009 20.348 0.061
14 -0.138 -0.083 24.101 0.030
15 0.013 0.054 24.136 0.044
16 -0.068 -0.026 25.046 0.049
17 0.031 0.049 25.233 0.066
18 -0.064 -0.061 26.061 0.073
19 0.047 0.051 26.514 0.089
20 -0.079 -0.085 27.778 0.088
21 -0.057 -0.041 28.445 0.099
22 0.103 0.128 30.647 0.080
23 -0.131 -0.078 34.216 0.047
24 -0.005 -0.081 34.222 0.062
25 -0.039 -0.024 34.548 0.075
26 -0.056 -0.034 35.221 0.084
27 -0.026 0.020 35.361 0.104
28 0.033 0.052 35.589 0.125
29 -0.111 -0.129 38.267 0.093
30 -0.058 -0.076 38.993 0.102
31 -0.123 -0.093 42.325 0.067
32 -0.021 0.022 42.418 0.083
33 0.028 0.156 42.598 0.100
34 -0.039 -0.028 42.933 0.115
35 0.099 0.022 45.123 0.096
36 -0.022 -0.019 45.232 0.115
Then we will do residual diagnostics of the other model with maximum adjusted R square:
ARIMA(2,1,3) correlogram is as follows:
5|Page
Date: 12/15/20 Time: 14:09
Q-statistic probabilities adjusted for 5 ARMA terms
1 0.053 0.053 0.5089

2 0.180 0.178 6.3723
3 0.093 0.079 7.9620
4 0.074 0.037 8.9676
5 0.039 0.005 9.2411
6 -0.039 -0.069 9.5207 0.002
7 0.076 0.065 10.586 0.005
8 -0.026 -0.019 10.709 0.013
9 0.007 -0.008 10.718 0.030
10 -0.018 -0.016 10.777 0.056
11 0.015 0.015 10.822 0.094
12 -0.038 -0.038 11.102 0.134
13 -0.062 -0.056 11.837 0.159
14 -0.168 -0.169 17.300 0.044
15 0.079 0.125 18.516 0.047
16 -0.042 0.019 18.860 0.064
17 -0.001 0.007 18.860 0.092
18 -0.021 -0.024 18.950 0.125
19 -0.003 -0.008 18.952 0.167
20 -0.096 -0.114 20.800 0.143
21 -0.064 -0.021 21.643 0.155
22 0.058 0.079 22.338 0.172
23 -0.117 -0.087 25.135 0.121
24 0.005 0.004 25.139 0.156
25 -0.063 -0.027 25.958 0.167
26 -0.070 -0.100 26.983 0.171
27 0.003 0.029 26.985 0.212
28 0.053 0.095 27.587 0.232
29 -0.138 -0.141 31.651 0.136
30 -0.071 -0.081 32.727 0.138
31 -0.092 -0.061 34.549 0.122
32 -0.018 0.014 34.621 0.149
33 0.029 0.086 34.802 0.176
34 -0.008 -0.012 34.815 0.211
35 0.102 0.087 37.135 0.173
36 -0.053 -0.043 37.770 0.187
On visualizing Arima (2,1,3) residuals correlogram we saw that acf and pacf is not significant for any
lag values, so it is stationary and the best model.
So, Best model is Arima (2,1,3), Now we will use this model to forecast values of next time periods.
The best model equation can be found from the following table :
DLGDP=0.005471 -0.372871*Yt-1 -0.637624*Yt-2 + 0.501106*Ut-1 + 0.997419*Ut-2 +0.281417*Ut-

3+U2008q1
But U2008q1=0
6|Page
steps)
Date: 12/15/20 Time: 14:16
C 0.005471 0.000708 7.721852 0.0000

AR(1) -0.372871 0.092008 -4.052573 0.0001
AR(2) -0.637624 0.061678 -10.33798 0.0000
MA(1) 0.501106 0.113792 4.403683 0.0000
MA(2) 0.997419 0.034301 29.07869 0.0000
MA(3) 0.281417 0.100000 2.814164 0.0055

Inverted AR Roots -.19-.78i -.19+.78i

Inverted MA Roots -.10+.96i -.10-.96i -.30
The values of Yt-1 and Yt-2 can be found from the excel file, whereas the resid folder in Eviews will
give the models Uts terms(Ut-1 and Ut-2):
Sno. Date Gdp
Table-1- Y(t) of GDP data Table-2: u(t)s of ARIMA(2,1,3)
DLGDP= 2020Q1-2019Q4= 0.005471 -0.372871*(472160.1) -0.637624*(471455.8) + 0.501106*-

0.002275 + 0.997419*-0.000394 +0.281417*-0.005858
7|Page
2020Q1= 476666.3394
510,000
Forecast: France
GREAT_BRITF
Actual:
Actual: GREAT_BRITAIN_GDP
France_GDP
500,000
Forecast
Forecast sample:
sample: 2018Q1
2018Q1 2019Q4
2019Q4
Included observations:
Included observations: 8
8
490,000
Root
Root Mean
Mean Squared
Squared Error
Error 6185.639
6185.639
Mean Absolute
Mean Absolute Error
Error 5472.793
5472.793
480,000 Mean
Mean Abs.
Abs. Percent
Percent Error
Error 1.165665
1.165665
Theil Inequality Coef. 0.006570
Theil Inequality Coef. 0.006570
470,000 Bias Proportion
Bias Proportion 0.782797
0.782797
Variance Proportion
Variance Proportion 0.189892
0.189892
460,000 Covariance Proportion
Covariance Proportion 0.027311
0.027311
Theil U2
Theil U2 Coefficient
Coefficient 3.762907
3.762907
450,000 Symmetric
Symmetric MAPE
MAPE 1.157100
1.157100
I II III IV I II III IV
2018 2019
France ± 2 S.E.
Predicted vs Actual France GDP graph.
Table-A-These are the forecasted values for the gdp data. Table-B These are the actual values of
GDP data.
8|Page

410 - ShubhiGupta - TSA - 2 - Shubhi Gupta

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410 - ShubhiGupta - TSA - 2 - Shubhi Gupta

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Name : Shubhi Gupta

Roll No. : 410

Here we can see that DLGDP is stationary.

Now we will make correlogram of DLGDP:

1 0.228 0.228 9.4260 0.002

(0,1,1) (0,1,2) (0,1,3)

(1,1,0) (1,1,1) (1,1,2) (1,1,3)

(2,1,0) (2,1,1) (2,1,2) (2,1,3)

Dependent Variable: DLGDP

Variable Coefficient Std. Error t-Statistic Prob.

C 0.005356 0.000674 7.946267 0.0000

R-squared 0.037199 Mean dependent var 0.005375

Inverted MA Roots -.17

Dependent Variable: DLGDP

Variable Coefficient Std. Error t-Statistic Prob.

C 0.005325 0.000788 6.754007 0.0000

R-squared 0.104585 Mean dependent var 0.005375

Inverted MA Roots -.05+.56i -.05-.56i

Variable Coefficient Std. Error t-Statistic Prob.

C 0.005310 0.000943 5.630382 0.0000

R-squared 0.148655 Mean dependent var 0.005375

Inverted MA Roots .15-.68i .15+.68i -.47

Variable Coefficient Std. Error t-Statistic Prob.

C 0.005528 0.000730 7.571725 0.0000

R-squared 0.054221 Mean dependent var 0.005498

Inverted AR Roots .23

Dependent Variable: DLGDP

Variable Coefficient Std. Error t-Statistic Prob.

C 0.005617 0.000949 5.922107 0.0000

R-squared 0.087469 Mean dependent var 0.005498

Inverted AR Roots .68

Variable Coefficient Std. Error t-Statistic Prob.

C 0.005574 0.000907 6.147907 0.0000

R-squared 0.148973 Mean dependent var 0.005498

Inverted AR Roots .34

Variable Coefficient Std. Error t-Statistic Prob.

C 0.005491 0.000925 5.936001 0.0000

R-squared 0.157834 Mean dependent var 0.005498

Inverted AR Roots .09

Variable Coefficient Std. Error t-Statistic Prob.

C 0.005614 0.000929 6.044426 0.0000

R-squared 0.109370 Mean dependent var 0.005549

Inverted AR Roots .58 -.42

Dependent Variable: DLGDP

Variable Coefficient Std. Error t-Statistic Prob.

C 0.005593 0.001019 5.486383 0.0000

R-squared 0.113248 Mean dependent var 0.005549

Inverted AR Roots .68 -.30

Variable Coefficient Std. Error t-Statistic Prob.

C 0.005488 0.000690 7.953148 0.0000

R-squared 0.199799 Mean dependent var 0.005549

Inverted AR Roots .03-.68i .03+.68i

Variable Coefficient Std. Error t-Statistic Prob.

C 0.005471 0.000708 7.721852 0.0000

R-squared 0.239274 Mean dependent var 0.005549

Inverted AR Roots -.19-.78i -.19+.78i

ARIMA (0,1,1) (0,1,2) (0,1,3) (1,1,0) (1,1,1) (1,1,2)

ARIMA (1,1,3) (2,1,0) (2,1,1) (2,1,2) (2,1,3)

On viewing Residual diagnostics of the ARIMA(0,1,1) and correlogram is as follows:

Autocorrelation Partial Correlation AC PAC Q-Stat Prob

1 0.026 0.026 0.1252

Autocorrelation Partial Correlation AC PAC Q-Stat Prob

1 0.053 0.053 0.5089

DLGDP=0.005471 -0.372871Yt-1 -0.637624Yt-2 + 0.501106Ut-1 + 0.997419Ut-2 +0.281417*Ut-

DLGDP= 2020Q1-2019Q4= 0.005471 -0.372871(472160.1) -0.637624(471455.8) + 0.501106*-