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Consider the following ARMA model for {y }: Σ +E + y,=a,+ j=1 where {E a y 1=1 is the residual. Which of the following assumption(s) on the residuals {ɛ } is needed to enable forecasting with this model in practice? O a. e is normally distributed. O b.g is mean-independent of y and ɛ-1€,-2"*.* 1-2'*** O C. e and e are stochastically independent for all O d. All of the above. QUESTION 2 How can the validity of the assumption(s) identified in Question 1 be examined in practice? O a. Use the Breusch-Pagan test, where the null hypothesis is that the distribution is normal. Ob. Use the Ljung-Box test, where the null hypothesis is that the first K autocorrelations are zero. O C. Examine the SACF and SPACF of the estimated residuals d. Both (b) and (c).

Consider the following ARMA model for {y }: Σ +E + y,=a,+ j=1 where {E a y 1=1 is the residual. Which of the following assumption(s) on the residuals {ɛ } is needed to enable forecasting with this model in practice? O a. e is normally distributed. O b.g is mean-independent of y and ɛ-1€,-2"*.* 1-2'*** O C. e and e are stochastically independent for all O d. All of the above. QUESTION 2 How can the validity of the assumption(s) identified in Question 1 be examined in practice? O a. Use the Breusch-Pagan test, where the null hypothesis is that the distribution is normal. Ob. Use the Ljung-Box test, where the null hypothesis is that the first K autocorrelations are zero. O C. Examine the SACF and SPACF of the estimated residuals d. Both (b) and (c).

MATLAB: An Introduction with Applications
MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
Problem 1P
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Consider the following ARMA model for {y,}: P Σ a +E + b j=1 1=1 where {e } is the residual. Which of the following assumption(s) on the residuals {ɛ } is needed to enable forecasting with this model in practice? O a. e is normally distributed. Ob. e is mean-independent of y,1,-2"* and e 1-1' C. and e are stochastically independent for all +s: O d. All of the above. QUESTION 2 How can the validity of the assumption(s) identified in Question 1 be examined in practice? O a. Use the Breusch-Pagan test, where the null hypothesis is that the distribution is normal. b. Use the Ljung-Box test, where the null hypothesis is that the first K autocorrelations are zero. Examine the SACF and SPACF of the estimated residuals d. Both (b) and (c).
Transcribed Image Text:Consider the following ARMA model for {y,}: P Σ a +E + b j=1 1=1 where {e } is the residual. Which of the following assumption(s) on the residuals {ɛ } is needed to enable forecasting with this model in practice? O a. e is normally distributed. Ob. e is mean-independent of y,1,-2"* and e 1-1' C. and e are stochastically independent for all +s: O d. All of the above. QUESTION 2 How can the validity of the assumption(s) identified in Question 1 be examined in practice? O a. Use the Breusch-Pagan test, where the null hypothesis is that the distribution is normal. b. Use the Ljung-Box test, where the null hypothesis is that the first K autocorrelations are zero. Examine the SACF and SPACF of the estimated residuals d. Both (b) and (c).
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