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DSCI 5340: Predictive Modeling and Business Forecasting Spring 2013 – Dr. Nick Evangelopoulos

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. POP QUIZ #7.

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DSCI 5340: Predictive Modeling and Business Forecasting Spring 2013 – Dr. Nick Evangelopoulos

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  1. DSCI 5340: Predictive Modeling and Business ForecastingSpring 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 ϕ1coefficient 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 ϕ1coefficient 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 ϕ1coefficient 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? • MA(1) • 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 ϕ1 coefficient? A. 1.29 B. 14.94 C. -0.32

  10. POP QUIZ #9 1. In an AR(p) model, the solution to the characteristic equation (shown below) are called: • Unit roots • Roots C. Autoregressive parameters

  11. POP QUIZ #9 2. The characteristic equation of the model yt= yt-1 + ut is 1 – z = 0. Is the model stationary? • Yes, because it does not have a unit root • 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 (ϕi) should be less than 1 B. None

  15. POP QUIZ #10 1. In monthly time series data, lags 12, 24, and 36 are called: • Near seasonal • 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: • Near seasonal • 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. zt= δ + ϕ1zt–1 + ϕ3zt–3 + ϕ12zt–12 B. zt= δ+ at–θ1at–1–θ3at–3–θ12at–12 C. zt= δ + ϕ1zt–1 + ϕ3zt–3 + at–θ12at–12 D. zt= δ + ϕ12zt–12 + at–θ1at–1–θ3at–3

  20. POP QUIZ #11 1. The order notation in a general ARIMA model is: • ARIMA(b0,b1,…,bk) • ARIMA(p,d,q) • ARIMA(θ,i,ϕ) • ARIMA(μ,σ)

  21. POP QUIZ #11 2. A Box-Cox transformation picks a power value that minimizes: • R-squared • SSE C. Either (A) or (B), since they are equivalent

  22. POP QUIZ #11 3. Independent variables are added to Box-Jenkins models when: • Their values change significantly over time • Their values do not change much over time • Their coefficients change significantly over time • Their coefficients do not change much over time

  23. POP QUIZ #11 4. What happens to y70 when it is multiplied by the back-shift operator B5, i.e., what is B5y70 ? A. B5y70 = B70y5 B. B5y70 = y75 C. B5y70 = y65 D. B5y70 = B-65

  24. POP QUIZ #11 5. The operator ϕp(BL) 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: • The first step • An iterative step • The last step

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

  27. POP QUIZ #12 3. The operator θQ(BL) is called: A. Non-seasonal autoregressive operator B. Seasonal autoregressive operator C. Non-seasonal moving average operator D. Seasonal moving average operator

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