Which of the following statements are true concerning the class of ARIMA(p,d,q) models?

Group of answer choices

The estimation of ARIMA models is incompatible with the notion of cointegration

An ARIMA(p,1,q) model estimated on a series of logs of prices is equivalent to an ARIMA(p,0,q) model estimated on a set of continuously compounded returns

The "I" stands for independent

It is plausible for financial time series that the optimal value of d could be 2 or 3.

Flag question: Question 26Question 265pts

Which of the following is not an example of a time series model?

Group of answer choices

None of the above

Naive approach

Exponential smoothing

Moving Average

Flag question: Question 27Question 275pts

What does auto-covariance measure?

Group of answer choices

Linear dependence between multiple points on the different series observed at different times

Quadratic dependence between two points on the same series observed at different times

Linear dependence between two points on the same series observed at different times

Linear dependence between two points on different series observed at same time

Flag question: Question 28Question 285pts

Looking at the below ACF plot, would you suggest to apply AR or MA in ARIMA modeling technique?

Group of answer choices

ARIMA

AR

MA

ARMA

Flag question: Question 29Question 295pts

If theACFdropssharplyat a given lag or the first lag autocorrelation ispositive, then use anARmodelwith orderpequal to the lag just before the sharp decline

Group of answer choices

True

False

Flag question: Question 30Question 305pts

If thePACFdropssharplyat a given lag or the first lag autocorrelation isnegative, then use anMAmodelwith orderqequal to the lag just before the sharp decline.

Group of answer choices

True

False

Flag question: Question 31Question 315pts

There are a few things you should know aboutARIMAmodels includes:

Group of answer choices

d is the number of times to difference the data

p is the order of the AR model

The ARIMA model is denoted ARIMA(p, d, q)

q is the order of the MA model

p, d, and q are nonnegative integers