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Suppose that a researcher had estimated the first 5 autocorrelation and partial autocorrelation coeffcients using a series of length 400 observations, and found them to be (from 1 to 5): -0.674, 0.332, -0.072, 0.042, 0.006 and -0.674, -0.225, 0.099, 0.193, 0.159. Determine if the autocorrelation and partial autocorrelation coeffcients are significant at the 5% level by using a simple "rule of Thumb". Test the five autoccorelation coefficients by use both the Box-Pierce and Ljung-Box tests to establish whether they are jointly zero.

Suppose that a researcher had estimated the first 5 autocorrelation and partial autocorrelation coeffcients using a series of length 400 observations, and found them to be (from 1 to 5): -0.674, 0.332, -0.072, 0.042, 0.006 and -0.674, -0.225, 0.099, 0.193, 0.159. Determine if the autocorrelation and partial autocorrelation coeffcients are significant at the 5% level by using a simple "rule of Thumb". Test the five autoccorelation coefficients by use both the Box-Pierce and Ljung-Box tests to establish whether they are jointly zero.

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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Suppose that a researcher had estimated the first 5 autocorrelation and partial autocorrelation coeffcients using a series of length 400 observations, and found them to be (from 1 to 5): -0.674, 0.332, -0.072, 0.042, 0.006 and -0.674, -0.225, 0.099, 0.193, 0.159. Determine if the autocorrelation and partial autocorrelation coeffcients are significant at the 5% level by using a simple "rule of Thumb". Test the five autoccorelation coefficients by use both the Box-Pierce and Ljung-Box tests to establish whether they are jointly zero.
Transcribed Image Text:Suppose that a researcher had estimated the first 5 autocorrelation and partial autocorrelation coeffcients using a series of length 400 observations, and found them to be (from 1 to 5): -0.674, 0.332, -0.072, 0.042, 0.006 and -0.674, -0.225, 0.099, 0.193, 0.159. Determine if the autocorrelation and partial autocorrelation coeffcients are significant at the 5% level by using a simple "rule of Thumb". Test the five autoccorelation coefficients by use both the Box-Pierce and Ljung-Box tests to establish whether they are jointly zero.
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