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3. Simulate an AR(2) process with 1 = 1.5, $2 = -0.75, and u = 100. Simulate 100 values, but set aside the last 10
3. Simulate an AR(2) process with 1 = 1.5, $2 = -0.75, and u = 100. Simulate 100 values, but set aside the last 10 values to compare forecasts to actual values. (a) Using the first 90 observations in the series, find the MLE of the model parameters. Are the estimates comparable to the true values? (b) Use the fitted model to forecast the 10 future values and obtain 95% forecast intervals. (c) What percentage of the observed values are covered by the forecast intervals? (d) Simulate a new sample data of the same size from the sample model and repeat steps (a), (b) and (c)
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