Code and Results for Chapter 5 (Stochastic Time Series Models):

Introduction:
These are results and code for the problems and examples found in Chapter 5 of this famous book.

1. Functions for Forecasting Implemented in this Chapter:
   • spacf.m (computes the sample partial autocorrelation function (SPACF))
2. Data sets considered in this chapter:
   • load_annual_farm_parity_ratios.m (Loads the annual farm parity ratios for 1910 to 1978)
   • load_demand_repair_data.m (Loads the monthly demand for repair parts)
   • load_master_card_applications.m (Loads the approved master card applications)
   • load_spy_data.m (loads weekly SPY closing prices)
   • weekly_spy_prices.csv (weekly SPY closing prices)
   • load_yield_data.m (loads the yield data set)
   • load_yield_data.py (loads the yield data set in Python)
3. Sections duplicated in code:
   • section_5_2_2.m (duplicates plots of the sample partial autocorrelation function for the yield data set)
   • model_yield_section_5_8_1.m (Generates ARIMA models for the yield data set.)
   • model_yield_section_5_8_1.R (Computes the maximum likelihood ARIMA coefficients for the yield data set.)
   • model_growth_section_5_8_2.m (Generates ARIMA models for the growth rate data set.)
   • model_growth_section_5_8_2.R (Computes the maximum likelihood ARIMA coefficients for the growth rate data set.)
   • model_demand_section_5_8_3.m (Generates ARIMA models for the demand for repair parts data set)
   • model_demand_section_5_8_3.R (Computes the maximum likelihood ARIMA coefficients for the yield data set.)
4. Exercises for this chapter
   • prob_5_1.m (produces plots of the sample autocorrelation functions)
   • prob_5_5.m (associated code for this problem)
   • prob_5_9.m (associated code for this problem)
   • prob_5_10.nb (some algebra for this problem)
   • prob_5_12.m (associated code for this problem)
   • prob_5_13.m (associated code for this problem)
   • prob_5_14.m (associated code for this problem)
   • prob_5_14.nb (some algebra for this problem)
   • prob_5_15.m (associated code for this problem)
   • prob_5_24.m (associated code for this problem)
   • prob_5_24.R (associated code for this problem)
   • prob_5_25.m (associated code for this problem)
   • prob_5_25.R (associated code for this problem)
   • prob_5_26.m (associated code for this problem)
   • prob_5_26.R (associated code for this problem)
   • prob_5_27.m (associated code for this problem)