Question #99
Reading: Reading 2 Time-Series Analysis
PDF File: Reading 2 Time-Series Analysis.pdf
Page: 46
Status: Unattempted
Question
Which of the following statements regarding covariance stationarity is CORRECT?
Answer Choices:
A. The estimation results of an AR model involving a time series that is not covariance stationary are meaningless
B. A time series that is covariance stationary may have residuals whose mean changes over time
C. A time series may be both covariance stationary and heteroskedastic
Explanation
Covariance stationarity requires that the expected value and the variance of the time
series be constant over time.