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  Example 9 - Problem Description
    Nonparametric estimation of the density and empirical distribution for a time series. Two data series are used: (1) simulated data and (2) the quarterly growth rate of the US Gross National Product

For the second series we specifically have the Real Gross National Product, USA, quarterly 1947-Q1 to 2006-Q2, FRED database series GNPC96 Federal Reserve Bank of Saint Louis online database http://research.stlouisfed.org/fred2/, in billions of chained 2000 dollars.
  1. Simulate a nonlinear autoregressive model
  2. Estimate and plot the density using the second reference bandwidth
  3. Plot the simulated series and the density in a single window
  4. Estimate and plot the empirical distribution function and compare it with the standard normal
  5. Estimate and plot the density using the second reference bandwidth
  6. Plot the series and the density in a single window
  7. Estimate and plot the empirical distribution function and compare it with the standard normal


View Complete Source for STSA Example 9

  Example 9 - Graphics Output













  Example 9 - Text Output



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