Econometrics for Finance ( need to have full understanding of Linear regression with time-series data and some understanding of
Univariate autoregressive and moving average models
Paper details:
Task and coverage: The data set series-051021.xls contains the UK monthly CPI for the period 1988m2-2021m08.2 The assignment requires you to conduct
a small research project on how accurately the above methods can forecast the annual inflation rate in the UK. You should therefore analyze
the time-series properties of data, implement the forecasting regression and produce inflation rate forecasts for each month in the period 2020m9 – 2021m8
(i.e. the last 12 months in the sample).
Report structure. The report should have the following the structure
- Introduction
- Data descriiption
- Methodology
- Analysis of results
Sample Solution
