1 Project I Econ 240c Spring 2006. 2 Issues  Parsimonious models  2006: March or April 9.3 wks or 8.9 wks  Trend  Residual seasonality  Forecasts:

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Presentation transcript:

1 Project I Econ 240c Spring 2006

2 Issues  Parsimonious models  2006: March or April 9.3 wks or 8.9 wks  Trend  Residual seasonality  Forecasts: sharp peaks or broad peaks?  Model selection  The labor market  Trend  Broad peaks

3 ∆ duration  : ar(1) ar(4) ar(24) ar(36)  : ma(1) ma(4) ma(24) ma(36)  : ar(1) ar(2) ma(1) ma(2)

4 ∆ lnduration  : ma(1) ma(4) sma(24) sma(36)  : ma(1) ma(4) ar(24) ar(36)  : ar(1) ar(2) ma(1) ma(2)  : ar(1) ma(1) ma(2) ma(3)

5 Outline  Duration Model: trend and arma error, p.6  Dduration model: arma(2,2), p. 29

6 Duration in Levels  Trend  Duration = a + b*t +arma error  Identification  Estimation  Model Verification  Within Sample Forecasting, a Test of the Model  Forecasts

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17 Conditional Heteroskedasticity?

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20 Within Sample Test

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23 Quick Menu, Show

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25 Forecast:

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27 Quick Menu, Show

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29 Monthly Change in Duration

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38 Dduration: ar(1) ar(2), ma(1)

39 Dduration: ar(1) ar(2), ma(2)

40Model

41 Diagnostics

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47 Within Sample Forecast

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50 Quick menu, show

51 Within Sample Forecast

52 Out of Sample Forecast

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61 Fractional Change in Duration

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63 Identification

64 Model

65 Model verification

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