Name : Dushyant Singh

Course : PGDM – R & BA

Enrolment No: 421/2019

TSA – ASSIGNMENT 2

DATA: FRANCE QUARTERLY GDP FROM Q1-1991 : Q1-2011

DATA SOURCE : OECD Database

Line Graph of GDP :

Correlogram at Level :
 • This is an AR(1) model as ACF decays gradually and PACF is significant at first lag .

Correlogram at First Difference :

Rapid decline of ACF and PACF shows that this is an ARIMA Model .

Tentative Models: ARIMA (1,1,q) : Where q can be 0 , 1 ,2 ,3

(1,1,0)

(1,1,1)

(1,1,2)

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

ARIMA (1,1,1)

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

ARIMA 1,1,0 1,1,1 1,1,2 1,1,3

Adj. R^2 0.36361 0.35914 0.38228 0.355711

AIC 0.80881 0.82805 0.79129 0.83340
SBIC 0.86880 0.91803 0.88127 0.92338

According to Adjusted R^2 and AIC Score , ARIMA (1,1,2) is the right model to forecast .

RESIDUAL DIAGNOSTICS OF ARIMA (1,1,2) :

 • All lags of both ACF and PACF lying between the confidence intervals .
• So , no information is left uncaptured and thus the chosen ARIMA model is most ideal .

FORECAST :

For Forecast Equation :

D(VALUE) = C + AR(1)*0.538815 + MA(2)*0.263074
Current VALUE – (Previous Value) = C + AR(1)*0.538815 + MA(2)*0.263074
Current VALUE = C + AR(1)*0.538815 + MA(2)*0.263074 + (Previous VALUE)
AR(1) VALUE = 92.46
Previous VALUE = 96.8
MA(2) VALUE = 3.681
C = 0.37
So, Current VALUE = 0.37 + 92.46*0.538815 + 3.681*0.263074
Current Value = 51.15