Q2 ( 15 points ) 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? 2 3 4 5 6 PACF 0.115 -0.030 -0.102 0.033 0.062 -0.050 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 7 8 9 10 11 12 PACE 0.031 0.052 0.063 0.005 -0.005 0.011 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