This exercise uses the TbGdpPi.csv data set. In Sect. 12.15.1, nonseasonal models were fit. Now use auto.arima() to find a seasonal model. Which seasonal model is selected by AIC and by BIC? Do you...

This exercise uses the TbGdpPi.csv data set. In Sect. 12.15.1, nonseasonal models were fit. Now use auto.arima() to find a seasonal model. Which seasonal model is selected by AIC and by BIC? Do you feel that a seasonal model is needed, or is a nonseasonal model sufficient?

12.15.1 T-bill Rates

 Run the following code to input the TbGdpPi.csv data set and plot the three quarterly time series, as well as their auto- and cross-correlation functions. The last three lines of code run augmented Dickey–Fuller tests on the three series.