1. 1 Project I Econ 240c Spring 2006

2. 2 Issues  Parsimonious models  2006: March or April 9.3 wks or 8.9 wks  Trend  Residual seasonality  Forecasts: sharp peaks or broad peaks?  Model selection  The labor market  Trend  Broad peaks

3. 3 ∆ duration  : ar(1) ar(4) ar(24) ar(36)  : ma(1) ma(4) ma(24) ma(36)  : ar(1) ar(2) ma(1) ma(2)

4. 4 ∆ lnduration  : ma(1) ma(4) sma(24) sma(36)  : ma(1) ma(4) ar(24) ar(36)  : ar(1) ar(2) ma(1) ma(2)  : ar(1) ma(1) ma(2) ma(3)

5. 5 Outline  Duration Model: trend and arma error, p.6  Dduration model: arma(2,2), p. 29

6. 6 Duration in Levels  Trend  Duration = a + b*t +arma error  Identification  Estimation  Model Verification  Within Sample Forecasting, a Test of the Model  Forecasts

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17. 17 Conditional Heteroskedasticity?

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20. 20 Within Sample Test

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23. 23 Quick Menu, Show

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25. 25 Forecast: 2006.05-2007.12

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27. 27 Quick Menu, Show

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29. 29 Monthly Change in Duration

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38. 38 Dduration: ar(1) ar(2), ma(1)

39. 39 Dduration: ar(1) ar(2), ma(2)

40. 40Model

41. 41 Diagnostics

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47. 47 Within Sample Forecast

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50. 50 Quick menu, show

51. 51 Within Sample Forecast

52. 52 Out of Sample Forecast

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61. 61 Fractional Change in Duration

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63. 63 Identification

64. 64 Model

65. 65 Model verification

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