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

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

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

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

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

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

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)

8 POP QUIZ #8 2. Dows Y appear to be stationary? A. Yes B. No

9 POP QUIZ #8 3. What is the CLSE estimate for ϕ 1 coefficient? A B C

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

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

12 POP QUIZ #9 3. MA models are always stationary A. True B. False

13 POP QUIZ #9 4. MA models are always invertible A. True B. False

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

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

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

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

18 POP QUIZ #10 4. The model below A. Includes only nonseasonal differences B. Includes only seasonal differences C. Combines seasonal and nonseasonal differences

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

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)

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

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

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

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

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

26 POP QUIZ #12 2. Autoregressive processes have no invertibility conditions: A. TRUE B. FALSE

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