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multivariate time series forecasting
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Engineering & Manufacturing > Other - Engineering & Manufacturing

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Aug 26, 2014
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  • Posted: Sat, Aug 23, 2014
  • Time Left: Closed
  • Location: Anywhere
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  • Start: Immediately
  • Hourly Rate: Not Sure
  • Hrs/wk: 3 | Duration: 1-2 weeks
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I have economic data (about 6 explanatory variables) that I am using to forecast monthly CPI from about 2009 to 2013 and the data has autocorrelation according to the Durbin Watson test. I want to do a good, complete, and careful job of modeling the data. I would prefer to use R but what I want is someone to guide me as to what I have to do and what issues I need to consider. If you know what to do then I can probably convert it to R. For example, I think I need to add in dummy variables for seasonality and test the distribution of the error and so on. I would like to try to use ARIMA for example which I suppose is a variant of VAR. I have seen stuff on the web for doing ARIMA on just a single variable (the response variable -CPI in this case) but I am not sure what to do in the case of multivariate explanatory variables. If you have expertise in this please let me know about your expertise in your bid.
Thanks.

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Job ID: 61252185
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