For the inflation rate and GDP growth from Exercise 5, find the best ARMA model for the
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Given this expression, retrieve the residuals 1 and construct the 1-step-ahead volatility forecast by implementing MA and EWMA. Construct the corresponding 95% interval forecast for inflation and GDP growth, and compare these intervals with those from Exercise 5.
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We have selected an AR3 process for the conditional mean of both the quarterly US inflation rate and real GDP growth following the speciation strategi...View the full answer
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Related Book For 
Forecasting for Economics and Business
ISBN: 978-0131474932
1st edition
Authors: Gloria Gonzalez Rivera
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