Univariate Time Series Modeling and Forecasting Quiz
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Questions and Answers

Which type of time series model attempts to model and predict financial variables using only information contained in their own past values and possibly current and past values of an error term?

  • Multivariate time series models
  • AutoRegressive Moving Average (ARMA) models
  • Univariate time series models (correct)
  • Structural models

    • What is the defining characteristic of a weakly stationary process?

  • $E(y_t) = E(y_{t+m}), \text{ for some } m$
  • $E(y_t) = \mu, \text{ for some } t$
  • All variances are the same and all covariances depend on the difference between $t_1$ and $t_2$ (correct)
  • $E(y_t) = \mu, \text{ for } t = 1,2,\ldots,\infty$

    • Which class of time series models is usually associated with Box and Jenkins (1970)?

  • Univariate time series models
  • AutoRegressive Moving Average (ARMA) models (correct)
  • Multivariate time series models
  • Structural models

    • What is the defining characteristic of a strictly stationary process?

    <p>The probability measure for the sequence ${y_t}$ is the same as that for ${y_{t+m}}$ for all $m$</p> Signup and view all the answers

    When might time series models be useful?

    <p>When a structural model is inappropriate</p> Signup and view all the answers

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