Exercise 1. You observe a time series {2} = (-1, 6, 1, 20, 28, 14, 30, 21,18, 20) = (a) Fit an AR(1) model with drift an
Posted: Wed Nov 24, 2021 10:05 am
Exercise 1. You observe a time series {2} = (-1, 6, 1, 20, 28, 14, 30, 21,18, 20) = (a) Fit an AR(1) model with drift and report the estimates for the coefficients in your model. (b) What are the minimum mean squared error forecasts for the next 10 timepoints? (c) Comment on these forecasts. What are they moving towards and why?