Question

5.This is a copy of the original series moved forward two time periods A. Lagged series with no lag B. Lagged series with lag-1   C. Lagged series with lag-2   D.None of the above

6. This reflects swings in the series, where high values are immediately followed by low values and vice versa. A.Negative lag-1 autocorrelation B. Strong autocorrelation C. Positive lag-1 autocorrelation D.All the above

7.This approach is generally taken to take advantage of auto correlation A. Directly build autocorrelation into the regression model B.Construct a second level forecasting model on the residual series C. Both a and b   D.None of the above

8.This is a series in which changes from one time period to the next are random. It is also a special case of an AR Model where slope coefficient is equal to 1. A. Random walk B.Linear Trend C. ARIMA forecast D. All the above

9.According to the Efficient Market Hypothesis in economics, asset prices are random walks and there fore predicting stock prices is a game of chance. A. True B. False

10.Besides looking at the autocorrelation of the raw series, it is useful to look at the autocorrelation of the residual series. A. True B. False

Answer 1

5.

Lagged series with lag-2:

This is a copy of the original series moved forward two time periods

Option c

6.

Negative lag-1 autocorrelation:

This reflects swings in the series, where high values are immediately followed by low values and vice versa

Option a

7.

This approach is generally taken to take advantage of auto correlation

• Directly build autocorrelation into the regression model
• Construct a second level forecasting model on the residual series

Option c

8.

Random walk:

This is a series in which changes from one time period to the next are random. It is also a special case of an AR Model where slope coefficient is equal to 1

Option a

9.

According to the Efficient Market Hypothesis in economics, asset prices are random walks and there fore predicting stock prices is a game of chance.

True

10.

Besides looking at the autocorrelation of the raw series, it is useful to look at the autocorrelation of the residual series

True