时间序列分析作业代写 predictive models代写 time series代写

Assignment 3

时间序列分析作业代写 The research question is : What are the best predictive models when forecasting stock market returns and inflation ?

The research question is : What are the best predictive models when forecasting stock market returns and inflation ? You can choose to work on US or Canadian data.

1 Data 时间序列分析作业代写

Target variables :

— SP500 returns or TSX returns

— Inflation (CPI) : US or Canada

Big panel of predictors :

— US macro panel : directly from FRED. See McCracken et Ng (2016).

— CAN macro panel : directly from my webpage. See Fortin-Gagnon et al. (2018)

US data start in 1960 and Canadian data start in 1981. Both are in monthly frequency.

2 Preliminary analysis 时间序列分析作业代写

1. Perform Box-Jenkins on both target variables. Which ARMA processes do you suggest for those two time series ? Justify.

2. Transform all data to be stationary. In fact, this is already done by McCracken and Ng (2016) and Matlab codes are available at FRED. In the case of Canadian data, you will find stationary panel in the zip file. Important : McCracken et Ng (2016) treat price indices as I(2) variables, hence they apply second difference. I suggest you to treat the target inflation series as I(0), in other words, construct CPI inflation as the first difference of logs of CPI index.

3. Analyse the factor structure of your panel of predictors (X_t) :

(a) Scree plot

(b) Trace plot

(c) Find the number of factors using IC_p2 criterion of Bai and Ng (2002), and :

— Get the marginal contribution of each factor to the average R² of the common component.

— For each factor, identify 5 most correlated series (in terms of marginal R²).

— Note : McCracken and Ng (2016) Matlab code in the zip file does most of it.

3 Forecasting exercise

3.1 Predictive models

1. Random walk without (RW) and with drift (RWD). RW is your benchmark model.

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