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Roll- 414/2019
Assignment -2
Subject- TSA
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
After this we will calculate the first difference of the data by the equation=
The graph of first difference of log of Great Britain 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
We will check equations at ARIMA(p,d,q) combining various lag values at which ACF and PACF are
significant.
ARIMA(0,1,1)
ARIMA(0,1,3)
Dependent Variable: DLGDP
Method: ARMA Conditional Least Squares (Gauss-Newton / Marquardt
steps)
Date: 12/15/20 Time: 13:13
Sample (adjusted): 1975Q2 2019Q4
Included observations: 179 after adjustments
Failure to improve likelihood (non-zero gradients) after 7 iterations
Coefficient covariance computed using outer product of gradients
MA Backcast: 1974Q3 1975Q1
ARIMA(1,1,1)
ARIMA(1,1,3)
Dependent Variable: DLGDP
Method: ARMA Conditional Least Squares (Gauss-Newton / Marquardt
steps)
Date: 12/15/20 Time: 13:20
Sample (adjusted): 1975Q3 2019Q4
Included observations: 178 after adjustments
Failure to improve likelihood (non-zero gradients) after 12 iterations
Coefficient covariance computed using outer product of gradients
MA Backcast: 1974Q4 1975Q2
ARIMA(2,1,1)
ARIMA(2,1,3)
Dependent Variable: DLGDP
Method: ARMA Conditional Least Squares (Gauss-Newton / Marquardt
steps)
Date: 12/15/20 Time: 13:29
Sample (adjusted): 1975Q4 2019Q4
Included observations: 177 after adjustments
Failure to improve likelihood (non-zero gradients) after 45 iterations
Coefficient covariance computed using outer product of gradients
MA Backcast: 1975Q1 1975Q3
Then we will do residual diagnostics of the other model with maximum adjusted R square:
ARIMA(2,1,3) correlogram is as follows:
Date: 12/15/20 Time: 14:09
Sample (adjusted): 1975Q4 2019Q4
Q-statistic probabilities adjusted for 5 ARMA terms
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 :
But U2008q1=0
Dependent Variable: DLGDP
Method: ARMA Conditional Least Squares (Gauss-Newton / Marquardt
steps)
Date: 12/15/20 Time: 14:16
Sample (adjusted): 1975Q4 2019Q4
Included observations: 177 after adjustments
Failure to improve likelihood (non-zero gradients) after 45 iterations
Coefficient covariance computed using outer product of gradients
MA Backcast: 1975Q1 1975Q3
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):
510,000
Forecast: GREAT_BRITF
Actual: GREAT_BRITAIN_GDP
500,000
Forecast sample: 2018Q1 2019Q4
Included observations: 8
490,000 Root Mean Squared Error 6185.639
Mean Absolute Error 5472.793
480,000 Mean Abs. Percent Error 1.165665
Theil Inequality Coef. 0.006570
470,000 Bias Proportion 0.782797
Variance Proportion 0.189892
460,000 Covariance Proportion 0.027311
Theil U2 Coefficient 3.762907
450,000 Symmetric MAPE 1.157100
I II III IV I II III IV
2018 2019
GREAT_BRITF ± 2 S.E.
Table-A-These are the forecasted values for the gdp data. Table-B These are the actual values of
GDP data.