Let
Z
t
be the
m-dimensional vector in Project 1. Build a forecast equation to compute threestep
ahead forecasts for
Z
t j
,
j
= 1, 2,and3
Find a
m-dimensional natural science related time series data set with
m
≥ 20, construct your
best factor models based on both principle component and likelihood ratio test methods and
compare your results with a written report and analysis software code. Email your data set
and software code to your course instructor.
Let
Z
t
be the
m-dimensional vector in Project 4. Build a forecast equation to compute fivestep
ahead forecasts for
Z
t j
,
j
=1,2,3,4, and 5