Suppose you fit an AR(2) model to a time series Yt, t = 1,...,n, and the estimates were μ = 100.1, φ1 = 0.5, and φ2 = 0.1. The last three observations were Yn−2 = 101.0, Yn−1 = 99.5, and Yn =...


Suppose you fit an AR(2) model to a time series Yt, t = 1,...,n, and the estimates were μ = 100.1, φ1 = 0.5, and φ2 = 0.1. The last three observations were Yn−2 = 101.0, Yn−1 = 99.5, and Yn = 102.3. What are the forecasts of Yn+1, Yn+2, and Yn+3?



May 26, 2022
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