[SOLVED] CS ETW3420 Principles of Forecasting and Applications

ETW3420 Principles of Forecasting and Applications

Principles of Forecasting and Applications

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Topic 5 Post-Tutorial Activity Part 2

Instructions

Perform and complete the following tasks before answering the Quiz questions on

For this activity, use the quarterly beer production in Australia data ranging from
1956Q1 to 2010Q2. (Dataset: ausbeer)

Question 1

For the purpose of this question, create a subset from the ausbeer data that starts from
1975Q1. Name this data set as beer.

(a) Produce a plot of the data. Consider if a Box-Cox transformation is needed

(b) Divide the data set into a training set (1975Q1 to 2007Q2) and test set (2007Q3:

(c) Using the training set data, produce forecasts for the test-set period using an ETS
model chosen for the data. For the purpose of this question, DO NOT apply a Box-
Cox transformation on the data. Note your answers to the following:

(i) the ETS model chosen;

(ii) the number of parameters estimated in the model.

(d) Determine if there is autocorrelation in the model residuals up to the 24th lag. Note
the p-value of the Ljung-Box test.

(e) Assess the forecasting performance of the ETS model.

Instructions
Question 1

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