Partition your sample into estimation and ex-post periods, with ex-post being 4 years.

INSTRUCTIONS TO CANDIDATES

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Task 2

Download monthly prices for a commodity of your choice or shipping freight rate for a single shipping route over the past 20 years (end of the data should be Feb 2023).

1- Partition your sample into estimation and ex-post periods, with ex-post being 4 years. Use the observations in the estimation period to estimate 3 different models, e.g., Econometric Model, ARMA, Exponential Smoothing, etc. Perform diagnostic tests, present the final estimation outcome and the diagnostics for each model, and discuss the results.

2- Use appropriate techniques to compute forecast values for 1 to 48 months ahead, over the ex-post period (last 4 years, i.e. March 2019 to February 2023) of the sample with the 3 models you have estimated in part 1.

3- Use appropriate statistics to evaluate the forecasting performance of each model and compare forecasting performance of models.

4- Choose the best model and prepare a short report including forecast values on how freight rates are going to behave over the next 12 months, March 2023 to February 2024 and present your forecast.

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[25 Marks]

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