Research Paper Instructions

  1. Define the chosen variable
  2. New one-family houses sold (NHS)
  3. Collect the data for the variable
  4. Data source
  5. www.economagic.com or other sources
  6. Monthly data and not seasonally adjusted (NSA)
  7. Time periodJanuary 1975 to the present
  8. Enter the data in Excel according to ForecastX format
  9. 1/1/1975 for Jan. 1975 and 2/1/1975 for Feb. 1975
  10. Plot the graphfor whole series
  11. ForecastX — Preview
  12. ACF for the whole series
  13. ForecastX –Analyze
  14. Identify the trend
  15. ACF for the first differenced series
  16. ForecastX – Analyze – Differencing – Non-Seasonal >1
  17. Identify seasonality
  18. Decide the sample period for model selection
  19. Historical period: 1/1/1975-12/1/2010
  20. Holdout period: 1/1/2011-12/1/2011
  21. Select models according to the data pattern
  22. Table 2.1, p. 58
  23. Time-series models: Modified naïve model, Winters’exponential smoothing, Time-series Decomposition, and ARIMA
  24. Regression mode:
  25. NHS = f (IR, DPI, dummy variables)—need data for IR (30-year mortgage rate), DPI(disposable personal income) and dummy variables (for seasonality)
  26. Perform estimation and forecasting for the data in the historical period, 1/2001 – 12/2010
  27. ForecastX – Forecast Method – choose models
  28. ForecastX – Statistics — RMSE
  29. For regression model, standard report shows the forecasts for independent variables
  30. Compare MAPEs and RMSEs of different models for the historical and holdout periods
  31. Perform ex-ante forecast – 11/2011-12/2012
  32. Use the whole series, 1/2001 – 10/2011
  33. Either choose the best model or combine two models
 
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