Code for Chapter 6 (Model Identification):

• Verifications/Duplication of Figures or Results from the Text
  • dup_table_6_4.R (plots the ACF and the PACA for Series A-F)
    
  • dup_table_6_7.R (estimates the parameters for the Series A-F)
    
  • est_theta1_MA1.R (estimates theta1 in the MA(1) model)
    
  • est_theta1_theta2_MA2.R (estimates theta1 and thest2 in the MA(2) model)
    
  • est_phi1_theta1_AR1MA1.R (estimates phi1 and theta1 in the ARIMA(1,d,1) model)
    
  • wt_std_error_AR1.R (standard error of the mean of w_t in an AR(1) model)
    
  • wt_std_error_AR2.R (standard error of the mean of w_t in an AR(2) model)
    
  • wt_std_error_MA1.R (standard error of the mean of w_t in an MA(1) model)
    
  • wt_std_error_MA2.R (standard error of the mean of w_t in an MA(2) model)
    
  • wt_std_error_AR1MA1.R (standard error of the mean of w_t in an ARMA(1,1) model)
    
• Problem Solutions
  • chap_6_prob_1.R (estimate parameters for various ARIMA models)
    
  • chap_6_prob_3.R (quarterly unemployment in the U.K.)
    
  • chap_6_prob_4.R (gross domestic product (G.D.P.) in the U.K.)
    
  • chap_6_prob_5.R (the annual price of hogs)