The Excel workbook on Blackboard contains three simulated time series data sets, each based on

INSTRUCTIONS TO CANDIDATES

ANSWER ALL QUESTIONS

Quantitative Methods  

NO EXCEPTIONS! 

You should submit a copy of the SAS program you wrote in order to solve the problem, the output and any relevant charts, and of course your analysis of and solution to the problem.

Please follow the specifications for submitting the problems (which will posted separately). Failure to do so will result in a 10 percent penalty on the problem set. I reserve the right to escalate the penalty on future problem sets if you insist on failing to adhere to the specifications.

LATE PROBLEM SETS WILL NOT BE ACCEPTED!

General note: You are not required to use the DDE method to bring the Excel data into SAS. You can use the “import wizard” instead if you choose.

1. The Excel workbook on Blackboard contains three simulated time series data sets, each based on a simple time series model – in other words, there are no mixed models. The series are designated X1, X2, X3.

A. Use SAS to plot each original data series before proceeding to the next phase of analysis. State whether or not each original series appears to be stationary.

B. Use SAS to obtain the SACF and SPACF for each series and tentatively identify a time series model for each series. You must decide on one model — no hedging of bets! If you insist on selecting multiple models, I will take the first identification you make as your solution and will ignore the rest.

C. Now use SAS to estimate the model that you  identified.  Discuss (based on the SAS output) how well you were able to identify the model.

Attachments:

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