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% significant level, please identify the order p of AR time series. How about the answer for 1% significance?

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P PACF AIC BIC P PACF AIC BIC 1 0.115 -5.838 -5.833 7 0.031 -5.846 -5.812 2 -0.030 -5.837 -5.827 8 0.052 -5.847 -5.807 3 -0.102 -5.846 -5.831 9 0.063 -5.849 -5.805 4 0.033 -5.845 -5.825 10 0.005 -5.847 -5.798 5 0.062 -5.847 -5.822 11 -0.005 -5.845 -5.791 6 -0.050 -5.847 -5.818 12 0.011 -5.843 -5.784 P PACF AIC BIC P PACF AIC BIC 1 0.115 -5.838 -5.833 7 0.031 -5.846 -5.812 2 -0.030 -5.837 -5.827 8 0.052 -5.847 -5.807 3 -0.102 -5.846 -5.831 9 0.063 -5.849 -5.805 4 0.033 -5.845 -5.825 10 0.005 -5.847 -5.798 5 0.062 -5.847 -5.822 11 -0.005 -5.845 -5.791 6 -0.050 -5.847 -5.818 12 0.011 -5.843 -5.784

Answer rating: 100% (QA)

We have to corripute 95 interval for at NN 0036 For No... View the full answer