Sep 18, 2017

YOU OBTAIN THE FOLLOWING SAMPLE AUTOCORRELATIONS AND PARTIAL AUTOCORRELATIONS FOR A SAMPLE OF…

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1. You obtain the following sample autocorrelations and partial autocorrelations for a sample of 100 observations from actual data:

Lag

Acfpacf

1

0.4200.632

2

0.1040.381

3

0.0320.268

4

-0.2060.199

5

-0.1380.205

6

0.0420.101

7

-0.0180.096

8

0.0740.082

(i) Can you identify the most appropriate time series process for the data?

(ii) Use the Ljung-Box Q* test to determine whether the first three autocorrelation coefficients taken together are jointly significant from zero.


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