Modeling and Forecasting Trend

Q1. If the lines below represent s2, AIC and SIC for the same sample size, the AIC and SIC respectively are
represented by:

A. Blue and Red

B. Green and Red

C. Blue and Green

D. Red and Green

Q2. Which of the following is the most consistent criteria for selecting a model:

A. s2

B. SIC

C. AIC

D. MSE

Q3. Which of the following represents the penalty factor according to SIC:

A.

B.

C.
D. 1

Characterizing Cycles
Q4. Which of the following is not a necessary condition for a time series to be covariance stationary?

A. Constant and finite expected value

B. Constant and finite variance

C. Zero mean

D. Constant and finite covariance between values at a given time lag

Q5. Which of the following is not consistent with white noise?

A. Constant mean

B. Constant variance

C. Finite variance

D. No serial correlation

Q6. Which of the following Q-statistics work better with limited data?

A. Box-Pierce

B. Ljung-Box

C. Both Box-Pierce and Ljung-Box are equally good

D. Neither is useful

Q7. A lag operator doesn’t:

A. Help evolve the relationship between lagged data and future data

B. Use only in-sample data to estimate

C. Consider only finite order polynomials

D. Use past, current and future values

Modeling Cycles

Q8. The order of the MA process with the following data is:

Lag Autocorrelation t-Statistic

1 1.4609 –6.8912

2 1.4384 5.4589

3 1.4589 6.1204

4 0.9875 –6.2345

5 0.0356 0.0132
 A. 2

B. 3

C. 4

D. 5

Q9. Which of the following processes don’t show autocorrelation cutoff?

A. MA process only

B. AR and ARMA processes

C. MA and ARMA processes

D. AR, MA and ARMA processes

Q10. Which of the following represents an AR process?

A.
B.
C.
D.

Q11. What is the order of the following process?

A. 1

B. 2

C. 4

D. 5

Q12. Which of the following statements regarding ARMA process are not true?

A. The autocorrelations for the data cutoff after a point

B. The autocorrelations can exhibit periodic spikes

C. The autocorrelations show a consistent gradual decay and don’t cutoff

D. The ARMA process doesn’t consider the lagged values of the independent variable