Lahore School of Economics

BSc IV
Time Series Analysis and Forecasting Winter 2022

Name:_____________________ Section:_______________

Date:______________________ Score:________________

Assignment No. 6 (Minitab)

Allie White, the chief loan officer for the Dominion Bank, would like to analyze the bank’s loan portfolio for the
years 2001 to 2006. The data are shown in Table below.

a. Compute the autocorrelations for time lags 1 and 2. Test to determine whether these autocorrelation
coefficients are significantly different from zero at the .05 significance level. Use LBQ test statistics.
b. Use a computer program to plot the data and compute the autocorrelations for the first six time lags. Is this
time series stationary?

TABLE Quarterly Loans ($ millions) for

Dominion Bank, 2001–2006

Calendar Mar. 31 Jun. 30 Sep. 30 Dec. 31

2001 2,313 2,495 2,609 2,792

2002 2,860 3,099 3,202 3,161
2003 3,399 3,471 3,545 3,851
2004 4,458 4,850 5,093 5,318
2005 5,756 6,013 6,158 6,289
2006 6,369 6,568 6,646 6,861
Source: Based on Dominion Bank records.

c. Compute the first differences of the quarterly loan data for Dominion Bank.
d. Compute the autocorrelation coefficient for time lag 1 using the differenced data.

e. Use a computer program to plot the differenced data and compute the autocorrelations for the differenced
data for the first six time lags. Is this time series stationary?