Q1. To qualify as a covariance stationary process, which of the following does not have to be true? A) Covariance(xt, xt-1) = Covariance(xt, xt-2). B) E[xt] = E[xt+1]. C) Covariance(xt, xt-2) = Covariance(xt, xt+2).
Q2. Which of the following is NOT a requirement for a series to be covariance stationary? The: A) expected value of the time series is constant over time. B) covariance of the time series with itself (lead or lag) must be constant. C) time series must have a positive trend.
Q3. Which of the following statements regarding covariance stationarity is TRUE? A) A time series that is covariance stationary may have residuals whose mean changes over time. B) The estimation results of a time series that is not covariance stationary are meaningless. C) A time series may be both covariance stationary and have heteroskedastic residuals.
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发表于 2009-1-10 16:03
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