For the data set, WW2b, used in Examples 2.4 and 2.5, fit a VAR (2) model to the five dimensional vector (1 − B12)Zt with (n − 3) observations. Use the fitted model to do three-step ahead forecasts...

For the data set, WW2b, used in Examples 2.4 and 2.5, fit a VAR (2) model to the five dimensional

vector (1 −
B12)Z
t
with (n
− 3) observations. Use the fitted model to do

three-step ahead forecasts and evaluate the forecasts. Complete your analysis with a written

report with your software code attached.

For the data set, WW2b, fit the models in Eqs. (2.99) and (2.103) with (n
− 3) observations.

Use the fitted models to do three-step ahead forecasts and compare the forecast performance

of the two models and the model from Project 1. Complete your analysis with a written

report including the software code used.