A1 Suppose the residuals of a AR(1) model y = 6 + $1Yt-1 + a is yi: -0.03, -0.84, -0.23,0.73,-0.44, 1.43, -1.13, 2.24, -2.45, 0.45. Calculate the Ljung-Box statistic Q(3) and test hypothesisHo : a - WN at significant level 0.05.

In this problem, we are given the residuals of an autoregressive model (AR(1)) and we want to…

Answered: Suppose the residuals of a AR(1) model…

Calculus For The Life Sciences

2nd Edition

ISBN:9780321964038

Author:GREENWELL, Raymond N., RITCHEY, Nathan P., Lial, Margaret L.

Publisher:GREENWELL, Raymond N., RITCHEY, Nathan P., Lial, Margaret L.

Chapter1: Functions

Section1.2: The Least Square Line

Problem 1E

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Suppose the residuals of a AR(1) model y = 8 + 013-1+ at is y: -0.03, -0.84, -0.23,0.73, -0.44, 1.43, -1.13, 2.24, -2.45, 0.45. Calculate the Ljung-Box statistic Q(3) and test hypothesis Ho at WN at significant level 0.05. :