2

Part II (20%): Answer all questions in this part.

For each question, state whether the given statement is true or false. Explain your answer.

1.

"In an ARIMA(2,1,0) model for the variable Y, there is a die-out pattern in the ACF

and a cut-off pattern at lag 2 in PACF of the data series Y."

2.

" Mean absolute percentage error (MAPE) can be used to compare the performance

of a forecast method applied to two different data series with different unit of measurement (e.g. one series measured in dollar, the other measured in million dollar)."

3.

"A large p-value for the Ljing-Box Q statistic on the residuals of an ARIMA model

indicates that the residuals are white noise."

4.

"A small p-value for the Breusch-Godfrey Lagrange Multiplier Test (LM test) on the

residuals of a regression model suggests that the OLS estimators are inefficient."