1. 1 Takehome One 2010

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5. 5 Excaus:Price of US $ in Canadian $

6. 6 Is excaus evolutionary?

7. 7 Spreadsheet

8. 8 Histogram

9. 9 correlogram

10. 10 Unit root test

11. 11 Based on evidence Trace Histogram Correlogram Unit root test Conclude it is evolutionary First difference, or take logs and first difference

12. 12 Spreadsheet dexcaus

13. 13 Trace dexcaus

14. 14 Histogram dexcaus

15. 15 Correlogram dexcaus

16. 16 Unit root test dexcaus

17. 17 Is dexcaus stationary? Based on the evidence Trace Histogram Correlogram Unit root test Yes, so model

18. 18 How to model dexusca? # of observations = 471 ~400 1/2 = 20 1/20 = 0.05 So 95% confidence intervals~ 0.10 Based on pacf Probably significant at lag 1, maybe lag 4 and lag 10 Based on acf Probably significant at lag 1, maybe lag 4

19. 19 Model conjectures Ar(1) ar(4) ar(10) Ar(1) ar(4) ma(10) Ma(1) ma(4) Arma(1,1)

20. 20 Model dexcaus c ar(1) ar(4), ser= 0.0165

21. 21 Correlogram of residuals, BG F=0.38

22. 22 Model dexcaus c ar(1) ar(4) ma(11), ser = 0.0164

23. 23 Correlogram of residuals, BG F =0.43

24. 24 Model dexcaus c ar(1) ma(1), ser=0.0165

25. 25 Correlogram of residuals, BG F=0.12

26. 26 Model dexcaus c ar(1) ma(4),ser= 0.0164

27. 27 Correlogram of residuals, BG F=0.99

28. 28 Conclude: two clean models Dexcaus c ar(1) ma(4) Dexcaus c ar(1) ar(4) ma(11)

29. 29 One more test; correlogram of residuals squared for dexusca c ar(1) ma(4)

30. 30 ARCH LM test

31. 31 Within Sample forecast

32. 32 Estimation

33. 33 forecast

34. 34 EViews forecast plot

35. 35 spreadsheet

36. 36 forecastdex

37. 37 Generate upper and lower

38. 38 Quick show

39. 39

40. 40 Forecast within sample

41. 41 Sample 2000.01 2010.04

42. 42 Forecast within sample

43. 43 Estimate ar(1) ma(4) model for full sample

44. 44 Procs expand range, change sample

45. 45 Forecast out of sample

46. 46 EViews out of sample forecast

47. 47 Gen upper and lower

48. 48 Forecastd2

49. 49 Quick show dexcaus forecastd2 upper2 lower2

50. 50 Recolor: excausf(t) = excausf(t-1) + dexcausf2; excausf(2010.04) = excaus(201004)

51. 51 Forecast 2010.05- 2011.04

52. 52 Forecast with confidence Intervals quick show EXCAUS EXCAUSF EXCAUSF+2*SEF2 EXCAUSF-2*SEF2

53. 53 Forecast of Canadian price of the US $: 2010.05-2011.04

54. 54 Forecast excaus: 2010.05 -2011.04

55. 55 Model dexcaus c ar(1) ma(4),ser= 0.0164 Dexcaus(t) = c+ resid(t) Resid(t) = 0.26*resid(t-1) + wn(t)+0.12*wn(t-4) Dexcaus(t) = 0.26*dexcaus(t-1) + wn(t) + 0.12*wn(t-4)