1. You obtain the following sample autocorrelations and partial autocorrelations for a sample of 100 observations from actual data:
|
Lag
|
Acf
|
pacf
|
|
1
|
0.420
|
0.632
|
|
2
|
0.104
|
0.381
|
|
3
|
0.032
|
0.268
|
|
4
|
-0.206
|
0.199
|
|
5
|
-0.138
|
0.205
|
|
6
|
0.042
|
0.101
|
|
7
|
-0.018
|
0.096
|
|
8
|
0.074
|
0.082
|
(i) Can you identify the most appropriate time series process for the data?
(ii) Use the Ljung-Box Q* test to determine whether the first three autocorrelation coefficients taken together are jointly significant from zero.