Question
8.3 Based on a series of length n = 200, we fit an AR(2) model and obtain residual autocorrelations of = 0.13, = 0.13, and
8.3 Based on a series of length n = 200, we fit an AR(2) model and obtain residual autocorrelations of = 0.13, = 0.13, and = 0.12. If = 1.1 and = 0.8, do these residual autocorrelations support the AR(2) specification? Individually? Jointly?
From textbook: Time Series Analysis with Applications in R by J.D. Cryer and K.-S. Chan
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Mathematical Interest Theory
Authors: Leslie Jane, James Daniel, Federer Vaaler
3rd Edition
147046568X, 978-1470465681
