Question #88
Reading: Reading 2 Time-Series Analysis
PDF File: Reading 2 Time-Series Analysis.pdf
Page: 42
Status: Unattempted
Correct Answer: B
Question
Which of the following statements regarding time series analysis is least accurate?
Answer Choices:
A. If a time series is a random walk, first differencing will result in covariance stationarity
B. We cannot use an AR(1) model on a time series that consists of a random walk
C. An autoregressive model with two lags is equivalent to a moving-average model with two lags
Explanation
An autoregression model regresses a dependent variable against one or more lagged
values of itself whereas a moving average is an average of successive observations in a
time series. A moving average model can have lagged terms but these are lagged values of
the residual.