Q4) Below are the ACF and PACF plots of three series given in the data.

As can be seen, while

first two series seem to be stationary; autocorrelations of the third series are strongly
persistent which is an indication of non-stationarity.
For the first series, we observe a single peaked ACF and decaying PACF function
which resembles a MA(1) process.
For the second series, the picture is not so clear. It resembles an AR(5) or MA(2)
process, however the true model may potentially be an ARMA(p,q) process.
Finally for the third series (although it looks nonstationary), we observe a single
peaked PACF which is an indication of AR(1) model.

. corrgram data1

LAG
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22

AC
-0.3370
-0.0263
0.0185
-0.0224
-0.0413
0.0643
-0.0262
0.0150
-0.0048
-0.0401
0.0619
0.0027
-0.0029
-0.0135
0.0408
-0.0754
0.1018
-0.1046
0.0639
0.0089
-0.0153
0.0581

PAC
-0.3387
-0.1580
-0.0521
-0.0441
-0.0739
0.0236
-0.0024
0.0153
0.0026
-0.0439
0.0399
0.0361
0.0248
-0.0072
0.0417
-0.0468
0.0759
-0.0682
0.0223
0.0303
0.0056
0.0824

Prob>Q

57.128
57.476
57.649
57.904
58.767
60.867
61.215
61.33
61.341
62.163
64.128
64.132
64.136
64.23
65.093
68.038
73.424
79.12
81.248
81.289
81.411
83.184

0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000

-1
0
1 -1
0
1
[Autocorrelation] [Partial Autocor]

. corrgram data2

LAG
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22

AC
-0.1725
-0.1368
-0.0623
-0.0737
-0.0599
0.0489
-0.0173
0.0044
-0.0194
-0.0373
0.0593
0.0142
-0.0080
-0.0140
0.0220
-0.0584
0.0695
-0.0873
0.0511
0.0191
-0.0040
0.0432

PAC
-0.1733
-0.1723
-0.1279
-0.1494
-0.1554
-0.0559
-0.0909
-0.0640
-0.0829
-0.1041
-0.0092
-0.0237
-0.0273
-0.0403
0.0029
-0.0688
0.0406
-0.1074
0.0108
-0.0015
-0.0058
0.0571

Prob>Q

14.963
24.395
26.358
29.105
30.927
32.142
32.294
32.304
32.497
33.21
35.015
35.119
35.151
35.252
35.504
37.275
39.784
43.755
45.119
45.31
45.318
46.297

0.0001
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0001
0.0002
0.0003
0.0002
0.0004
0.0008
0.0013
0.0021
0.0019
0.0014
0.0006
0.0007
0.0010
0.0016
0.0018

1
0
1 -1
0
-1
[Autocorrelation] [Partial Autocor]

. corrgram data3

LAG
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22

AC
0.9969
0.9933
0.9896
0.9858
0.9820
0.9782
0.9740
0.9696
0.9651
0.9609
0.9569
0.9529
0.9489
0.9450
0.9410
0.9368
0.9325
0.9279
0.9233
0.9181
0.9131
0.9082

PAC
0.9979
-0.0975
-0.0132
-0.0131
0.0284
0.0223
-0.0584
0.0056
-0.0135
0.0096
0.0095
-0.0716
-0.0193
-0.0052
0.0043
-0.0294
0.0335
-0.0661
0.0686
-0.0720
-0.0274
-0.0132

Prob>Q

499.86
997.19
1491.8
1983.5
2472.5
2958.7
3441.8
3921.3
4397.5
4870.5
5340.5
5807.5
6271.6
6732.8
7191.1
7646.2
8098.1
8546.4
8991.3
9432.1
9868.9
10302

0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000
0.0000

-1
0
1 -1
0
1
[Autocorrelation] [Partial Autocor]

Below is the table that presents information criteria (BIC) for various model
specifications:
AR(1)
AR(2)
AR(3)
AR(4)
AR(5)
MA(1)
MA(2)
MA(3)
MA(4)
MA(5)
ARMA(1,1)
ARMA(1,2)
ARMA(2,1)
ARMA(2,2)

DATA 1
1436.538
1430.385
1435.32
1440.631
1444.261
1421.905
1427.713
1433.922
1439.71
1445.916
-

DATA 2
1480.27
1471.565
1469.653
1464.78
1459.022
1471.17
1443.973
1438.259
1439.639
1444.859
1428.725
1433.903
1433.827
1439.004

DATA 3
1432.352
1433.698
1439.811
1445.928
1451.773
3703.285
3170.338
2810.421
2527.328
2337.868
-

So, our initial guesses are actually verified: The minimum value of BIC suggests a
MA(1) model for first series, ARMA(1,1) model for second series and AR(1) model for the
third series.
Here are the estimated models that we inferred from autocorrelations and
information criteria:

. arima data1, noconstant arima(0,0,1)

(setting optimization to BHHH)
Iteration 0:
log likelihood = -704.83982
Iteration 1:
log likelihood = -704.73814
Iteration 2:
log likelihood = -704.73812
ARIMA regression
Sample:

1 - 500

Number of obs
Wald chi2(1)
Prob > chi2

Log likelihood = -704.7381

OPG
Std. Err.

=
=
=

500
95.09
0.0000

data1

Coef.

ma
L1.

-.414244

.0424795

-9.75

0.000

-.4975024

-.3309857

/sigma

.990391

.0298501

33.18

0.000

.9318859

1.048896

P>|z|

[95% Conf. Interval]

ARMA

. arima data2, noconstant arima(1,0,1)

(setting optimization to BHHH)
Iteration 0:
log likelihood = -714.75425
Iteration 1:
log likelihood = -705.51566
Iteration 2:
log likelihood = -705.10622
Iteration 3:
log likelihood = -705.04392
Iteration 4:
log likelihood = -705.0409
(switching optimization to BFGS)
Iteration 5:
log likelihood = -705.04045
Iteration 6:
log likelihood = -705.04038
Iteration 7:
log likelihood = -705.04038
ARIMA regression
Sample:

1 - 500

Number of obs
Wald chi2(2)
Prob > chi2

Log likelihood = -705.0404

=
=
=

500
1170.36
0.0000

OPG
Std. Err.

P>|z|

[95% Conf. Interval]

.5647681

.0586007

9.64

0.000

.4499128

.6796235

ma
L1.

-.8922551

.0307542

-29.01

0.000

-.9525322

-.8319781

/sigma

.9906142

.0299409

33.09

0.000

.9319311

1.049297

data2

Coef.

ar
L1.

ARMA

. arima data3, noconstant arima(1,0,0)

(setting optimization to BHHH)
Iteration 0:
log likelihood = -927.93094
Iteration 1:
log likelihood = -742.00083
Iteration 2:
log likelihood = -710.31136
Iteration 3:
log likelihood = -709.96364
Iteration 4:
log likelihood = -709.9614
(switching optimization to BFGS)
Iteration 5:
log likelihood = -709.96134
Iteration 6:
log likelihood = -709.96134
ARIMA regression
Sample:

1 - 500

Number of obs
Wald chi2(1)
Prob > chi2

Log likelihood = -709.9613

OPG
Std. Err.

data3

Coef.

ar
L1.

.9982816

.0019226

/sigma

.9953201

.0302845

=
500
= 269595.32
=
0.0000

P>|z|

[95% Conf. Interval]

519.23

0.000

.9945133

1.00205

32.87

0.000

.9359635

1.054677

ARMA

One thing to notice is that the coefficient of the AR(1) variable of the last
regression is very close to 1. So the process might have a unit root which validates our initial
guess of non-stationarity.
And lastly, below are the ACF and PACF plots of the residuals obtained from these 3
regressions. Both autocorrelations and partial autocorrelations are very close to zero. There
is no serial dependence remaining in the residuals, which is a positive feedback for the
model specifications initially proposed.
. corrgram res1

LAG
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22

AC
0.0095
-0.0225
-0.0027
-0.0360
-0.0348
0.0518
-0.0041
0.0113
-0.0088
-0.0205
0.0621
0.0255
0.0041
-0.0033
0.0242
-0.0411
0.0637
-0.0623
0.0545
0.0302
0.0099
0.0452

PAC
0.0096
-0.0228
-0.0021
-0.0368
-0.0347
0.0516
-0.0070
0.0122
-0.0115
-0.0178
0.0671
0.0225
0.0075
-0.0054
0.0294
-0.0370
0.0650
-0.0737
0.0621
0.0271
0.0137
0.0524

Prob>Q

.04587
.30134
.30489
.96183
1.5773
2.9419
2.9506
3.0157
3.0549
3.2698
5.2509
5.5861
5.5949
5.6005
5.9036
6.7811
8.8914
10.91
12.457
12.933
12.984
14.058

0.8304
0.8601
0.9591
0.9155
0.9040
0.8161
0.8895
0.9334
0.9621
0.9743
0.9184
0.9355
0.9597
0.9756
0.9813
0.9773
0.9436
0.8981
0.8652
0.8802
0.9092
0.8994

Prob>Q

.25354
.56244
.61994
1.6049
2.4701
3.5442
3.5773
3.6007
3.6866
3.9676
5.7472
6.0367
6.0386
6.0552
6.2882
7.2144
9.1028
11.118
12.58
13.036
13.085
14.061

0.6146
0.7549
0.8919
0.8079
0.7810
0.7381
0.8270
0.8912
0.9308
0.9488
0.8897
0.9142
0.9447
0.9651
0.9745
0.9689
0.9370
0.8893
0.8594
0.8758
0.9056
0.8993

-1
0
1 -1
0
1
[Autocorrelation] [Partial Autocor]

. corrgram res2

LAG
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22

AC
0.0225
-0.0248
-0.0107
-0.0441
-0.0413
0.0460
-0.0081
0.0068
-0.0130
-0.0234
0.0589
0.0237
0.0019
-0.0057
0.0212
-0.0423
0.0603
-0.0622
0.0529
0.0296
0.0096
0.0431

PAC
0.0225
-0.0255
-0.0095
-0.0446
-0.0404
0.0461
-0.0133
0.0066
-0.0166
-0.0209
0.0641
0.0187
0.0045
-0.0074
0.0274
-0.0382
0.0632
-0.0747
0.0627
0.0257
0.0131
0.0504

-1
0
1 -1
0
1
[Autocorrelation] [Partial Autocor]

. corrgram res3

LAG
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22

AC
0.0966
0.0218
0.0152
-0.0260
-0.0274
0.0507
0.0013
0.0134
-0.0049
-0.0129
0.0634
0.0313
0.0097
0.0015
0.0246
-0.0328
0.0600
-0.0502
0.0558
0.0360
0.0169
0.0458

PAC
0.0968
0.0123
0.0121
-0.0294
-0.0233
0.0573
-0.0076
0.0125
-0.0104
-0.0102
0.0708
0.0183
0.0041
-0.0054
0.0281
-0.0349
0.0644
-0.0708
0.0699
0.0259
0.0121
0.0456

Prob>Q

4.6929
4.9318
5.0481
5.3899
5.7712
7.0789
7.0797
7.1716
7.1839
7.2695
9.33
9.8335
9.8816
9.8827
10.196
10.753
12.624
13.938
15.563
16.239
16.39
17.491

0.0303
0.0849
0.1683
0.2496
0.3291
0.3136
0.4206
0.5182
0.6180
0.6998
0.5915
0.6306
0.7036
0.7707
0.8072
0.8244
0.7610
0.7331
0.6862
0.7017
0.7474
0.7357

-1
0
1 -1
0
1
[Autocorrelation] [Partial Autocor]