Question #2
Reading: Reading 2 Time-Series Analysis
PDF File: Reading 2 Time-Series Analysis.pdf
Page: 1
Status: Unattempted
Question
The model xt = b0 + b1 xt − 1 + b2 xt − 2 + b3 xt −12 + εt is an autoregressive model of type:
Answer Choices:
A. AR(2)
B. AR(1)
C. AR(12)
Explanation
The b1xt − 1 and b2xt − 2 lag terms make this an autoregressive model of order p = 2 with a
seasonal lag. The b3xt −12 term is a seasonal term which does not transform the model to
AR(12).