Question #5
Reading: Reading 2 Time-Series Analysis
PDF File: Reading 2 Time-Series Analysis.pdf
Page: 2
Status: Unattempted
Correct Answer: A
Question
The model xt = b0 + b1 xt-1 + b2 xt-2 + b3 xt-3 + b4 xt-4 + εt is:
Answer Choices:
A. an autoregressive conditional heteroskedastic model, ARCH
B. a moving average model, MA(4)
C. an autoregressive model, AR(4)
Explanation
This is an autoregressive model (i.e., lagged dependent variable as independent variables)
of order p=4 (that is, 4 lags).