Question: Using quarterly average CPI index data from March 1980 through March 2020, you calculate the quarter over quarter change in the CPI index and estimate

Using quarterly average CPI index data from March 1980 through March 2020, you calculate the quarter over quarter change in the CPI index and estimate an AR(1) model for the series of changes in the quarterly CPI index.

Regression statistics

Autocorrelations of the Residual

R-squared

0.065771

Lag 1

-0.041804

SEE

0.006621

Lag 2

-0.023911

Observations

159

Lag 3

0.215020

Lag 4

0.071199

Coefficient

Std Error

Intercept

0.005391

0.000761

Lag 1

0.248092

0.074623

a.Calculate the t-statistics for the regression coefficients and the residual autocorrelations

b.Are the regression coefficients for the intercept and/or lag 1 significant at the level?

c.Does this data series exhibit seasonality?

d.Are the residuals serially correlated?

e.Is this model properly specified? Why or why not?

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