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slide 1 DSCI 5340: Predictive Modeling and Business Forecasting Spring 2013 – Dr. Nick Evangelopoulos Exam 2 review: Quizzes 7-12* (*) Please note that Exam 2 is comprehensive; therefore, you should also review Quizzes 1-6
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2 POP QUIZ #7 1. What is the name of the function that identifies the order of an autoregressive B-J model? A. SPAC – Sample Partial Autocorrelation function B. SAC – Sample Autocorrelation function
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3 POP QUIZ #7 2. What is the name of the function that identifies the order of a moving average B-J model? A. SPAC – Sample Partial Autocorrelation function B. SAC – Sample Autocorrelation function
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4 POP QUIZ #7 3. What happens to the mean of an AR(1) model if the ϕ 1 coefficient is equal to 1? A. The mean is undefined B. The mean is 0 C. The mean has an opposite sign from the model constant
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5 POP QUIZ #7 4. What happens to the mean of an AR(1) model if the ϕ 1 coefficient is greater than 1? A. The mean is undefined B. The mean is 0 C. The mean has an opposite sign from the model constant
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6 POP QUIZ #7 5. What happens to the variance of an AR(1) model if the ϕ 1 coefficient is equal to 1? A. The variance is undefined B. The variance is 0 C. The variance is negative
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7 POP QUIZ #8 1. Analysis of Towel sales data is shown below. What is an appropriate ARIMA model? A.MA(1) B.AR(1) C. ARMA(1,1)
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8 POP QUIZ #8 2. Dows Y appear to be stationary? A. Yes B. No
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9 POP QUIZ #8 3. What is the CLSE estimate for ϕ 1 coefficient? A. 1.29 B. 14.94 C. -0.32
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10 POP QUIZ #9 1. In an AR(p) model, the solution to the characteristic equation (shown below) are called: A.Unit roots B.Roots C. Autoregressive parameters
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11 POP QUIZ #9 2. The characteristic equation of the model y t = y t-1 + u t is 1 – z = 0. Is the model stationary? A.Yes, because it does not have a unit root B.Yes, because it has a unit root C. No, because it does not have a unit root D. No, because it has a unit root
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12 POP QUIZ #9 3. MA models are always stationary A. True B. False
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13 POP QUIZ #9 4. MA models are always invertible A. True B. False
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14 POP QUIZ #9 5. If the model includes autoregressive parameters, the invertibility condition is: A. The sum of values of the autoregressive parameters ( ϕ i ) should be less than 1 B. None
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15 POP QUIZ #10 1. In monthly time series data, lags 12, 24, and 36 are called: A.Near seasonal B.Exact seasonal C. Stationary D. Nonstationary
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16 POP QUIZ #10 2. In monthly time series data, lags 10, 11, 12, 13, and 14 are called: A.Near seasonal B.Exact seasonal C. Stationary D. Nonstationary
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17 POP QUIZ #10 3. The ACF plot below shows: A. Stationarity at exact seasonal lags B. Stationarity at near seasonal lags C. Nonstationarity at exact seasonal lags D. Nonstationarity at near seasonal lags
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18 POP QUIZ #10 4. The model below A. Includes only nonseasonal differences B. Includes only seasonal differences C. Combines seasonal and nonseasonal differences
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19 POP QUIZ #10 5. The SAC of a time series shows a spike at lag 12. The SPAC shows spikes at lags 1 and 3. One tentative model is: A. z t = δ + ϕ 1 z t–1 + ϕ 3 z t–3 + ϕ 12 z t–12 B. z t = δ + a t – θ 1 a t–1 – θ 3 a t–3 – θ 12 a t–12 C. z t = δ + ϕ 1 z t–1 + ϕ 3 z t–3 + a t – θ 12 a t–12 D. z t = δ + ϕ 12 z t–12 + a t – θ 1 a t–1 – θ 3 a t–3
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20 POP QUIZ #11 1. The order notation in a general ARIMA model is: A.ARIMA(b 0,b 1,…,b k ) B.ARIMA(p,d,q) C.ARIMA(θ,i, ϕ ) D.ARIMA(μ,σ)
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21 POP QUIZ #11 2. A Box-Cox transformation picks a power value that minimizes: A. R-squared B. SSE C. Either (A) or (B), since they are equivalent
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22 POP QUIZ #11 3. Independent variables are added to Box-Jenkins models when: A.Their values change significantly over time B.Their values do not change much over time C.Their coefficients change significantly over time D.Their coefficients do not change much over time
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23 POP QUIZ #11 4. What happens to y 70 when it is multiplied by the back-shift operator B 5, i.e., what is B 5 y 70 ? A. B 5 y 70 = B 70 y 5 B. B 5 y 70 = y 75 C. B 5 y 70 = y 65 D. B 5 y 70 = B -65
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24 POP QUIZ #11 5. The operator ϕ p (B L ) is called: A. Non-seasonal autoregressive operator B. Seasonal autoregressive operator C. Non-seasonal moving average operator D. Seasonal moving average operator
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25 POP QUIZ #12 1. According to the General Box-Jenkins approach, forecasting is: A.The first step B.An iterative step C.The last step
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26 POP QUIZ #12 2. Autoregressive processes have no invertibility conditions: A. TRUE B. FALSE
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27 POP QUIZ #12 3. The operator θ Q (B L ) is called: A. Non-seasonal autoregressive operator B. Seasonal autoregressive operator C. Non-seasonal moving average operator D. Seasonal moving average operator
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