Deck 12: Time-Series Analysis

Question 1

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

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

Answer 1

A

Question 2

What is the definition of autocorrelation?

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

Answer 2

D

Question 3

Which statistical test is commonly employed to detect autocorrelation?

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

Answer 3

B

Question 4

What is a stationary time series?

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?

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