Consider the monthly unemployment rates of the States of Illinois, Michigan, and Ohio of the United States from January 1976 to November 2009. The data were seasonally adjusted and are available from FRED of the Federal Reserve Bank of St. Louis. See also the file m-3state-un.txt.

- Build a VAR model for the three unemployment rates. Write down the fitted model.

- Use the impulse response functions of the VAR model built to study the relationship between the three unemployment rates. Describe the relationships.

- Use the fitted model to produce point and interval forecasts for the unemployment rates of December 2009 and January 2010 at the forecast origin of November 2009.