Question
Consider the following first 12 lags of sample PACF and some information criteria for a series of monthly stock returns from 01/1926 to 12/2008. Using
Consider the following first 12 lags of sample PACF and some information criteria for a series of monthly stock returns from 01/1926 to 12/2008. Using the 5% significance level, please identify the order p of AR time series. How about at 1% significance level? I need help with the hand calculations, I have tried working this a few times and am beyond confused.
P 1 2 3 4 5 6
PACF 0.115 -0.030 -.102 .033 .062 -.050
AIC -5.838 -5.837 -5.846 -5.845 -5.847 -5.847
BIC -5.833 -5.827 -5.831 -5.825 -5.822 -5.818
P 7 8 9 10 11 12
PACF .031 .052 .063 .005 -0.005 .011
AIC -5.846 -5.847 -5.849 -5.847 -5.845 -5.843
BIC -5.812 -5.807 -5.805 -5.798 -5.791 -5.784
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