Again, consider the change series of the US monthly unemployment duration from February 1948 to August 2017.

Question:

Again, consider the change series of the US monthly unemployment duration from February 1948 to August 2017. Fit a time-varying coefficient AR model to the data. Perform model checking and write down the fitted model. Plot the filtered and smooth state variables.

Step by Step Answer:

Related Book For  book-img-for-question

Nonlinear Time Series Analysis

ISBN: 9781119264057

1st Edition

Authors: Ruey S. Tsay, Rong Chen

Question Posted: