The data file NILE.TSM consists of the annual minimum water levels of the Nile river as measured at…

Annual Minimum Water Levels; NILE.TSM

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The data file NILE.TSM consists of the annual minimum water levels of the Nile river as measured at the Roda  gauge near Cairo for the years 622-871. These values are plotted in Figure 10.11 with the corresponding sample autocorrelations shown in Figure 10.12. The rather slow decay of the sample autocorrelation function suggests the possibility of a fractionally inter grated model for the mean-corrected series

Yt=Xt− 1119.

The ARMA model with minimum (exact) AICC value for the mean-corrected

series {Yt} is found, using Model>Estimation>Auto fit, to be

Yt= −.323Yt−1 − .060Yt−2 + .633Yt−3 + .069Yt−4 + .248Yt−5

Zt .702Zt−1 + .350Zt−2 − .419Zt−3,

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Figure 10-12 The sample correlation function of the data in Figure 10.11.

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