m~'.

it

Exercises

6377

(1990) York:

Exercises
7.1 Figure 7-3 shows the ACF for 36 random numbers, and Figure 7-27 shows the ACFs for 360 random numbers and for 1,000 random numbers. (a) Explain the differences among these figures. Do they all indicate the data are white noise? (b) Why are the critical values at different distances from the mean of zero? Why. are' the autocorrelations different in each figure whenthey each refer to white noise?

nagerial
'ns mod-

relation
1.

, Englefor the urnal of

~ 1
o
u. 0 ~ 0
III

~
III

ci u, ....................
i Iii

"',.,,',"'''' ,'l:'"",:", :"'"",:-:::r.",,,,

<

q
0

__

_-_

III

III

9
q

9
q

~
5 10 15 20 5 10

15

20

Figure 7-27: Left: ACF for a white noise series of 360 numbers. Right: ACF for a white noise series of 1,000 numbers.

7.2 A classic example of a non-stationary

series is the daily closing IBM stock prices. Figure 7-28 shows the analysis of n = 369 daily closing prices for IBM stock. Explain how each plot shows the series is non-stationary and should be differenced. e data below are from a white noise series with a standard normal distribution (mean zero and variance one). (Read left to right.) 0.01 1.38 -0.27 -1.43 0.91 1.76 0.53 -1.15 0.84 1.58 -0.07 -1.13 1.32 1.69 0.92 1.04 0.28 1.67 0.33 0.01 -1.03 -0.20 0.94 -1.71 1.90 -2.10 1.18 0.72 0.09 -0.59