I have some troubles with my university homework.
I'm actually learning rstudio.
Teacher give us a big homework.
I will try to explain (i'm french and english is hard for me ^^) :
I downloaded a csv file with the interest rate of canada from 1955 to 2021.
--> I made a lot of test : DF , ZA and LS test. So i found a DS serie with structural change with the LS Test.
I differentiated and stationnarised the DS serie to made forecast on it.
Then i'm made ACF/PACF to see if there is autocorrelation is my stastionnarised serie i found a little autocorrelation at lag 6.
But when i made ljungbox with lag = 10, i found p-value = 0.4 who correspond to nul hypothesis of autocorrelation...
When i made eacf function i found ARMA(0,0) ...
I'm lost ^^
Then i try to made my model with the best bic , i found
Arima(dCanada, order = c(1,6,0),include.mean=FALSE) with a BIC of 483 (ar(1) best then ma(1))
And Arima(dCanada, order = c(0,0,0),include.mean=FALSE) with a BIC of 180
So i conclude the ar(1) is the better model ?
The second problem is this :
-LjungBox test on centered and reduced residus has autocorrelation (p-value<0.05)
-ArchTest fund cluster of volatility ...
So which model do i choose ?
My forecast isn't possible?