Consider the following output for an autoregressive forecasting model Coefficien
ID: 3333171 • Letter: C
Question
Consider the following output for an autoregressive forecasting model
Coefficients
Standard Error
t Statistic
p-value
Intercept
5.745787
4.85094
0.84426
0.40299
yt-1
0.62849
-0.10434
-1.66023
0.103822
yt-2
0.65709
0.962669
14.65044
9.69E-19
The actual values of this time series, y, were 228, 54, and 191 for May, June, and July, respectively. The predicted (forecast) value for August is:
36.91
161.27
218.71
83.67
Coefficients
Standard Error
t Statistic
p-value
Intercept
5.745787
4.85094
0.84426
0.40299
yt-1
0.62849
-0.10434
-1.66023
0.103822
yt-2
0.65709
0.962669
14.65044
9.69E-19
Explanation / Answer
Solution:
The forecast equation is given as below:
Predicted (forecast) value = yt = 5.745787 + 0.62849*yt-1 + 0.65709*yt-2
[ We have, t = August, t – 1 = July, t – 2 = June, t – 3 = May ]
Predicted (forecast) value = yt =5.745787 + 0.62849*July value+ 0.65709*June value
Predicted (forecast) value = yt =5.745787 + 0.62849*191+ 0.65709*54
Predicted (forecast) value = yt =161.2702
Correct answer = 161.27