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Financial Econometric - Simulating an ARMA - Economics Assessment Answer
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Internal Code: 1AGICI
2. Estimate the model (maxlag 24 36 ) P-ACF
3. Run the AIC and the BIC (aka: SIC or SBIC)
4. For each series: Identify the best model (Best ones are known having the smallest value)
5. Test the residual (U t ) whether it is a white noise. If not, start over again from step 1.
Economics Assessment Answer
TASK Assignment: 1. Identified appropriate models (4-5 models)
2. Estimate the model (maxlag 24 36 ) P-ACF
3. Run the AIC and the BIC (aka: SIC or SBIC)
4. For each series: Identify the best model (Best ones are known having the smallest value)
5. Test the residual (U t ) whether it is a white noise. If not, start over again from step 1.
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