Question

Dear tutor,

4. Which of the following sets of characteristics would usually best describe an autoregressive process of order 3 (i.e. an AR(3)? (a) A slowly decaying acf, and a pacf with 3 significant spikes (b) A slowly decaying pacf and an acf with 3 significant spikes (c) A slowly decaying acf and pacf (d) An acf and a pacf with 3 significant spikcs 5. A process, xi, which has a constant mean and variance, and zero autocovariance for all non-zero lags is best described as (a) A white noise process (b) A covariance stationary process (c) An autocorrelated process (d) A moving average process 6. Which of the following conditions must hold for the autoregressive part of an ARMA model to be stationary? (a) All rools of the characteristic equation must lie outside the unit circle (b) All roots of the characteristic equation must lie inside the unit circle (c) All roots must be smaller than unity (d) At least one of the roots must be bigger than one in absolute value 7. Which of the following statements arc truc concerning timc-scries forccasting? (i) All time-series forecasting methods are essentially extrapolative (ii) Forecasting models are prone to perform poorly following a structural break in a Scries (iii) Forecasting accuracy often declines with prediction horizon iv) Thc mcan squarcd crrors of forccasts arc usually vcry highly corrclated with the profitability of employing those forecasts in a trading strategy (a) (i), (ii), (iii), and (iv) (b) (i), (ii) and (iii) only (c) (ii), (iii) only (d) (i) and (iv) only

Please could you help me with these questions. Please kindly give brief explanations to the answers.

Thank you.

Answer 1

4) option A)
5) option A)
6) option A)
7) option B)