Consider the time series of U.S. monthly unemployment ra
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Consider the time series of U.S. monthly unemployment rates from January 1948 to July 2007 in the file m us unem.txt. Th
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Consider the time series of U.S. monthly unemployment rates from January 1948 to July 2007 in the file m us unem.txt. These data, which have been seasonally adjusted, are obtained from the Federal Reserve Bank of St. Louis. (a) Plot the ACF and PACF of the rates and the differenced rates. (b) Fit an ARMA model to the data from January 1948 to December 2006. (Hint: Use a model selection criterion to choose the order within a prescribed range of orders.) (c) Use your fitted model to compute k-months-ahead forecasts (k = 1, 2, . . . ,6) and their standard errors, choosing December 2006 as the forecast origin. Compare your forecasts with the actual unemployment rates.
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