Question 1

What is the definition of autocorrelation?

Accepted Answer

A)   The data are hierarchically structured
B)   There is absence of multicollinearity
C)   The variance of the residuals is unequal over a range of measured values
D)   The correlation of a series with its own lagged or future values D

Question 2

A long-term movement in the data (a systematic tendency for a series to either increase or decrease) is called a?

Accepted Answer

A)   Trend
B)   Cycle
C)   Seasonality
D)   Window A

Question 3

Which statistical test is commonly employed to detect autocorrelation?

Accepted Answer

A)   Cook's D
B)   Durbin-Watson
C)   Hausman
D)   Huber-White B

Question 4

What is a stationary time series?

Accepted Answer

A)   A series where the mean, variance and covariance does not change over time
B)   A series where the mean, variance and covariance does change over time
C)   A series where the probability distribution does not change over time
D)   A series where the probability distribution does change over time

Question 5

Which model can be used to include multiple time series?

Accepted Answer

A)   Arima model
B)   Vector autoregression
C)   Unit root
D)   Correlogram

Exam 12: Time-Series Analysis

What is the definition of autocorrelation?

A long-term movement in the data (a systematic tendency for a series to either increase or decrease) is called a?

Which statistical test is commonly employed to detect autocorrelation?

What is a stationary time series?

Which model can be used to include multiple time series?