17.2 Suppose that an ARMA(0, 2) model has been estimated for a time series that has been...

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17.2 Suppose that an ARMA(0, 2) model has been estimated for a time series that has been generated by an ARMA(1, 2) process.

(a) How would the diagnostic test indicate that the model has been misspecified?

(b) What will the residual autocorrelations

f, look like? What characteristics of these autocorrelations might indicate that ARMA(1, 2) is a more correct specification?

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