Test Bank For Forecasting and Predictive Analytics With Forecast X TM 7th Edition Barry Keating J Holton Wilson John Solutions Inc

Test Bank for Forecasting and Predictive Analytics with Forecast X (TM), 7th Edition, Barry
Test Bank for Forecasting and Predictive Analytics

with Forecast X (TM), 7th Edition, Barry Keating, J.
Holton Wilson, John Solutions Inc.
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Forecasting and Predictive Analytics with Forecast X, 7e (Keating)
Chapter 7 Explanatory Models 3. ARIMA (Box-Jenkins) Forecasting Models
1) Why are ARIMA (Box-Jenkins) models often referred to as "black boxes"?

A) They ignore causal variables.
B) They use regression analysis in non-standard ways.
C) They evaluate forecast accuracy different from regression models.
D) They are difficult to understand.
E) All of the options are correct.
Answer: A
Difficulty: 1 Easy
Topic: The Philosophy of Box-Jenkins
Learning Objective: 7-02 Explain the philosophy of ARIMA modelling.
Accessibility: Keyboard Navigation
Gradable: automatic
2) Which of the following is not a potential advantage to using ARIMA models to generate
forecasts?
A) They are useful when a set of explanatory variables cannot be identified.
B) They are useful when the only data available are the variable to be forecast.
C) They determine a great deal of information about a time series.
D) They are especially useful for long-term forecasts.
Answer: E
Difficulty: 1 Easy
Topic: Introduction
Learning Objective: 7-01 Define ARIMA: (Autoregressive Integrated Moving Average).
Gradable: automatic
3) Which of the following is not a reason for the widespread popularity of ARIMA-type
forecasting models?
A) They require less data.
B) They are quite accurate.
C) They allow forecasts with little modeling based on economic theory.
D) They generate especially good short-term forecasts.
E) None of the options are correct.
Answer: D
Difficulty: 1 Easy
Topic: Introduction
Learning Objective: 7-01 Define ARIMA: (Autoregressive Integrated Moving Average).
Gradable: automatic
1
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written consent of McGraw-Hill Education.
4) What is a key difference between ARIMA-type models and multiple regression models?
A) The dependent variable
B) Attention to data trend and seasonality
C) Attention to serial correlation
D) Use of explanatory variables
Answer: D
Difficulty: 1 Easy
Gradable: automatic
5) In the model selection process for ARIMA-type models, the ultimate goal is to find an
underlying model that
A) explains the dependent variable.
B) leads to non-random errors.
C) produces white noise forecast errors.
D) models the nonlinear components in a time series.
Answer: C
Difficulty: 1 Easy
Gradable: automatic
6) If it is found that the forecast errors from an ARIMA-type model exhibit serial correlation, the
model
A) is not an adequate forecasting model.
B) is a candidate for adding another explanatory variable.
C) almost surely contains seasonality.
D) is a candidate for Cochrane-Orcutt regression.
Answer: A
Difficulty: 1 Easy
Topic: Moving-Average Models
Learning Objective: 7-04 Explain in detail the two contributing models: the autoregressive
model and the moving average model.
Gradable: automatic
2
7) The choice of models in the "black box" of the ARIMA model methodology does not refer to
A) autoregressive models.
B) moving average models.
C) causal models.
D) mixed autoregressive-moving-average models.
Answer: C
Difficulty: 1 Easy
Gradable: automatic
8) "White noise" refers to model forecast errors that are

A) normally distributed with a mean of one.
B) non-normal.
C) serially independent.
D) heteroscedastic.
Answer: C
Difficulty: 1 Easy
Gradable: automatic
9) The ARIMA model selection process seeks to find that underlying model which removes
A) all deterministic components from the data.
B) data trend.
C) data seasonality.
D) any serial correlation in the data.
Answer: E
Difficulty: 1 Easy
Topic: Introduction
Gradable: automatic
3
10) Which of the following models is not considered as a potential correct "black box" addition
in Box-Jenkins modeling?
A) MA(1) models
B) Exponential smoothing models
C) Time-trend regression models
D) Autoregressive models
Answer: C
Difficulty: 1 Easy
Gradable: automatic
11) Moving-average (or MA type) ARIMA models are best described as

A) simple averages.
B) non-weighted averages.
C) weighted averages of white noise series.
D) weighted averages of non-normal random variates.
Answer: C
Difficulty: 1 Easy
Gradable: automatic
12) Autocorrelation and partial autocorrelation functions differ in

A) what series is being analyzed.
B) their length.
C) diagnostic ability to identify ARIMA models.
D) what is being held constant in the observed correlogram.
Answer: D
Difficulty: 1 Easy
Gradable: automatic
4
13) For a moving-average solution to a forecasting problem, the autocorrelation plot should
_______ and the partial autocorrelation plot should _______.
A) slowly approach zero; slowly approach zero
B) dramatically approach zero; exponentially approach one
C) slowly approach one; and cyclically approach zero
D) dramatically cut off to zero; decline to zero whether monotonically or in a wavelike manner
Answer: D
Difficulty: 1 Easy
Gradable: automatic
14) The autocorrelation function correlogram should show spikes close to _______ lags if a
moving-average type model generates the true data.
A) one
B) two
C) three
D) four
Answer: E
Difficulty: 1 Easy
Gradable: automatic
5
15) Which of the following patterns of the partial autocorrelation function correlogram is
inconsistent with an underlying moving-average data process?
A) Exponentially declining to zero
B) Cyclically declining to zero
C) Positive at first, then negative and increasing to zero
D) Negative at first, then positive and declining to zero
Answer: E
Difficulty: 1 Easy
Gradable: automatic
16) The autocorrelation function of a time series shows coefficients significantly different from
zero at lags 1 through 4. The partial autocorrelation function shows one spike and monotonically
increases to zero as lag length increases. Such a series can be modeled as a _______ model.
A) MA(1)
B) MA(2)
C) MA(3)
D) MA(4)
Answer: D
Difficulty: 2 Medium
Gradable: automatic
6
17) A time series that can be best represented as a MA(2) model has a partial autocorrelation
function that
A) exponentially declines to zero as lag length increases.
B) cyclically declines to zero as lag length increases.
C) has one large negative spike and then goes to zero.
D) has one large positive spike and then goes to zero.
Answer: E
Gradable: automatic
18) The order of a moving-average (MA) process can best be determined by the
A) Durbin-Watson statistic.
B) Box-Pierce chi-square statistic.
C) autocorrelation function.
D) partial autocorrelation function.
Answer: C
Difficulty: 1 Easy
Gradable: automatic
19) Autoregressive models are best described as

A) simple averages of lagged values of the series.
B) weighted averages of lagged series values plus white noise.
C) weighted average of white noise series.
D) weighted averages of normal random variates.
Answer: B
Difficulty: 1 Easy
Topic: Autoregressive Models
Gradable: automatic
7
20) An autocorrelation and partial autocorrelation function for an AR-type process differs from
that of a MA-type process in
A) what series is being analyzed.
B) their length.
C) diagnostic ability to access a moving-average model.
D) that they are opposites.
Answer: D
Difficulty: 1 Easy
Gradable: automatic
21) For an autoregressive model solution to a forecasting problem, the autocorrelation plot
should _______ and the partial autocorrelation plot should _______.
A) gradually approach zero; dramatically cut off to zero.
B) dramatically approach zero; exponentially approach one.
C) slowly approach one; and cyclically approach zero.
D) dramatically cut off to zero; decline to zero either monotonically or in a wavelike manner.
Answer: A
Gradable: automatic
8
22) The autocorrelation function correlogram should show significant correlation (spikes) at lags
of _______ if an autoregressive-type model generates the true data.
A) one
B) two
C) three
D) four
Answer: E
Difficulty: 1 Easy
Gradable: automatic
23) Which of the following patterns of the partial autocorrelation function correlogram is
inconsistent with an underlying autoregressive data process?
Answer: E
Gradable: automatic
9
24) The partial autocorrelation function shows one spike at lag length one. Such a series can be
modeled as an _______ model.
A) AR(1)
B) AR(2)
C) AR(3)
D) AR(4)
Answer: A
Difficulty: 1 Easy
Gradable: automatic
25) A time series that can be best represented as an AR(2) model has a partial autocorrelation
function that
A) exponentially declines to zero as lag length increases.
B) cyclically declines to zero as lag length increases.
Answer: E
Difficulty: 1 Easy
Gradable: automatic
26) The order "p" of an autoregressive (AR) process can best be determined by the
A) Durbin-Watson statistic.
C) autocorrelation function.
D) partial autocorrelation function.
Answer: D
Difficulty: 1 Easy
Gradable: automatic
10
27) Mixed moving-average models of order (1, 1) have spikes exhibited in
A) the autocorrelation function.
B) the partial autocorrelation function.
C) both autocorrelation and partial-autocorrelation functions.
D) neither the autocorrelation and partial-autocorrelation functions.
Answer: C
Difficulty: 1 Easy
Topic: Mixed Autoregressive and Moving-Average Models
Gradable: automatic
28) ARMA(p, q) models have autocorrelation and partial-autocorrelation functions that

A) may both show spikes.
B) may both show monotonically declining estimates.
C) may look amazingly similar.
D) may look quite dissimilar in the nature of adjustment.
Answer: E
Difficulty: 1 Easy
Gradable: automatic
29) For an ARMA(1, 2) solution to a forecasting problem, the autocorrelation plot should have
_______ spike(s) and the partial autocorrelation plot should have _______ spike(s)?
A) 1; 2
B) 2; 1
C) 1; 1
D) 2; 2
Answer: B
Difficulty: 1 Easy
Gradable: automatic
11
30) The autocorrelation function correlogram should show spikes close to _______ lags if an
ARMA (2, 3)-type model generates the true data.
A) one
B) two
C) three
D) four
Answer: C
Difficulty: 1 Easy
Gradable: automatic
31) The partial-autocorrelation function correlogram should show spikes close to _______ lags if
an ARMA (2, 3)-type model generates the true data.
A) one
B) two
C) three
D) four
Answer: B
Difficulty: 1 Easy
Gradable: automatic
12
32) Which of the following patterns of the partial-autocorrelation function correlogram is
inconsistent with an underlying ARMA data process?
Answer: E
Gradable: automatic
33) The autocorrelation function of a time series shows coefficients significantly different from
zero at lags 1 through 4. The partial-autocorrelation function shows one spike and monotonically
increases to zero as lags length increases. Such a series can be modeled as a(n) _______ model.
A) ARMA(1, 4)
B) ARMA(2, 4)
C) MA(3)
D) ARMA(4, 1)
Answer: A
Difficulty: 1 Easy
Gradable: automatic
13
34) A time series that can be best represented as an ARMA(2, 0) model has a partial-
autocorrelation function that
A) has no significant lags.
B) slowly declines to zero as lag length increases.
Answer: E
Difficulty: 1 Easy
Gradable: automatic
35) The order of an ARMA(p, q) process can best be determined by the

A) number of AR and MA terms that are significant.
C) autocorrelation function alone.
D) partial-autocorrelation function alone.
Answer: A
Difficulty: 1 Easy
Gradable: automatic
36) Which of the following are incorrect?

A) Spikes in the partial-autocorrelation function indicate moving-average terms.
B) Spikes in the autocorrelation function indicate autoregressive terms.
C) Most economic data can be modeled as a higher-order ARMA(p, q) model.
D) For an ARMA(p, q) model, both the autocorrelation and partial-autocorrelation functions
show abrupt stops.
Answer: E
Gradable: automatic
14
37) Which of the following is a stationary time series?
A) A series in which consecutive values depend only on the interval of time between them
B) A series whose mean is constant over time
C) A series with no trend
D) A series whose autocorrelation function shows no significant spikes
Answer: E
Difficulty: 1 Easy
Topic: Stationarity
Learning Objective: 7-05 Discuss the importance of stationarity and demonstrate how to handle
nonstationarity.
Gradable: automatic
38) Which of the following is not a way to induce stationarity out of non-stationary data?
A) First-difference the original series.
B) Second-difference the original series.
C) Transform the original series using logarithms.
D) Examine the data in percentage terms.
Answer: E
Difficulty: 1 Easy
Topic: Stationarity
nonstationarity.
Gradable: automatic
39) ARMA models applied to non-stationary data are called

A) ARIMA(p, q) models.
B) ARMA(p, d, q) models.
C) ARIMA(p, d, q) models.
D) MA(p, q) models.
E) MA(d, q) models.
Answer: C
Topic: Stationarity
nonstationarity.
Gradable: automatic
15
40) Integration refers to the
A) moving-average order of a time series.
B) autoregressive order of a time series.
C) number of differences required to induce data stationarity.
D) fit of an ARIMA model.
Answer: C
Difficulty: 1 Easy
Topic: Stationarity
nonstationarity.
Gradable: automatic
41) Most economic time series are integrated of what order?

A) Zero
B) One
C) Two
D) Four
Answer: B
Difficulty: 1 Easy
Topic: Stationarity
nonstationarity.
Gradable: automatic
42) What transformation will transform any trend in variance to a trend in the mean of a time
series?
A) First-differencing the data.
B) Squaring the data.
C) Taking natural logarithms of the data.
D) Second-differencing the data.
Answer: C
Difficulty: 1 Easy
Topic: Stationarity
nonstationarity.
Gradable: automatic
16
43) Which of the following models utilizes a transformed series to induce a stationary series?
A) ARIMA(1, 0, 1)
B) ARIMA(1, 0, 0)
C) ARIMA(1, 1, 1)
D) ARIMA(0, 0, 1)
Answer: C
Topic: Stationarity
nonstationarity.
Gradable: automatic
44) Which of the following is not a way to generate stationarity data out of non-stationary data?
A) First-difference the original series.
B) Second-difference the original series.
C) Transform the original series using logarithms.
D) Examine a non-linear form of the model.
Answer: D
Difficulty: 1 Easy
Topic: Stationarity
nonstationarity.
Gradable: automatic
45) Which of the following best describes the autocorrelation function (ACF) of a non-stationary
time series?
A) The ACF has several significant spikes.
B) The ACF has coefficients that very gradually go to zero.
C) The ACF has a spurious pattern of spikes as lags increase.
D) The null of zero autocorrelation is rejected for a significant amount of lags.
Answer: E
Topic: Stationarity
nonstationarity.
Gradable: automatic
17
46) Which of the following is not a characteristic of a time series best represented as an
ARIMA(3, 0, 1) model?
A) The original series is stationary.
B) The autocorrelation function has one dominant spike.
C) The partial-autocorrelation function has one dominant spike.
D) The partial-autocorrelation function has three spikes.
Answer: C
Topic: Stationarity
nonstationarity.
Gradable: automatic
47) Which of the following is not a first step in the ARIMA model selection process?
A) Examine the autocorrelation function of the raw series.
B) Examine the partial-autocorrelation function of the raw series.
C) Test the data for stationarity.
D) Estimate an ARIMA(1, 1, 1) model for reference purposes.
Answer: D
Difficulty: 1 Easy
Topic: The Box-Jenkins Identification Process
Learning Objective: 7-06 Estimate an ARIMA model with ForecastX and use the appropriate
diagnostic statistics to judge its fit and/or accuracy.
Gradable: automatic
18
48) Which of the following rules is not a useful first step in the ARIMA model selection
process?
A) If the autocorrelation function stops after q spikes, the appropriate model is a MA(q) type.
B) If the partial-autocorrelation function stops after p spikes, then the appropriate model is an
AR(p) type.
C) If the autocorrelation function does not rapidly approach zero, then first-difference the data.
D) If the partial-autocorrelation function quickly approaches zero, then data first differencing
may be recommended.
Answer: D
Difficulty: 1 Easy
Topic: Stationarity
nonstationarity.
Gradable: automatic
49) The third step of the ARIMA model selection process is to diagnose whether the correct
model has been chosen. Which of the following is not used in this diagnostic process?
A) The autocorrelation function of the forecast errors
B) The partial autocorrelation function of the forecast errors
C) The Ljung-Box Z statistic
D) The chi-square distribution
Answer: C
Difficulty: 1 Easy
Gradable: automatic
19
50) The Q-statistic
A) is based on the estimated autocorrelation function.
B) is used to test whether a series is white noise or not.
C) follows the chi-square distribution.
D) tests whether the residual autocorrelations as a set are significantly different from zero.
Answer: E
Difficulty: 1 Easy
Gradable: automatic
51) Using the Ljung-Box statistic applied to a sample with 30 degrees of freedom, we cannot
reject the null of a white noise process if the sample Q-value is less than _______ at the 10%
level of significance.
A) 10
B) 20
C) 30
D) 40
Answer: D
Gradable: automatic
52) The Q-statistic follows which probability distribution?

A) Normal
B) Standard Normal
C) t distribution
D) F distribution
Answer: E
Difficulty: 1 Easy
Gradable: automatic
20
53) The diagnostic step in the Box-Jenkins model selection process essentially examines the
forecast errors for
A) trend.
B) serial correlation.
C) independence.
D) white noise.
Answer: E
Difficulty: 1 Easy
Gradable: automatic
54) What is the null hypothesis being tested using the Ljung-Box statistic?
A) The set of autocorrelations is jointly equal to zero.
B) The set of autocorrelations is jointly not equal to zero.
C) The set of autocorrelations is jointly equal to one.
D) The set of autocorrelations is between zero and four.
Answer: A
Difficulty: 1 Easy
Gradable: automatic
55) What problem arises when applying ARIMA-type models to highly seasonal monthly data?
A) Autocorrelation
B) Heteroscedasticity
C) Extremely high-order AR and MA processes
D) Stationarity
Answer: C
Difficulty: 1 Easy
Topic: Forecasting Seasonal Time Series
Learning Objective: 7-07 Employ an ARIMA model for forecasting time-series data.
Gradable: automatic
21
56) Besides using sophisticated ARIMA-type models capable of internally handling data
seasonality, an alternative is to use
A) seasonal dummy variables.
B) trend dummy variables.
C) deseasonalized data, and then reseasonalize to generate forecasts.
D) Holt's smoothing.
Answer: C
Difficulty: 1 Easy
Gradable: automatic
22
57)
What ARIMA model is suggested by the above correlogram?

A) ARIMA (2, 1, 2)
B) ARIMA (0, 0, 1)
C) ARIMA (2, 0, 4)
D) ARIMA (0, 1, 2)
Answer: B
Difficulty: 1 Easy
Topic: ARIMA: A Set of Numerical Examples
Gradable: automatic
23
58)
What ARIMA model is suggested by the correlogram above?

A) ARIMA (0, 1, 0)
B) ARIMA (0, 1, 1)
C) ARIMA (1, 1, 0)
D) ARIMA (1, 0, 0)
Answer: D
Difficulty: 1 Easy
Gradable: automatic
24
59)
The correlogram above suggests what type of ARIMA model?

A) ARIMA (1, 1, 1)
B) ARIMA (0, 0, 1)
C) ARIMA (1, 1, 2)
D) ARIMA (0, 2, 1)
Answer: B
Difficulty: 1 Easy
Gradable: automatic
25
60) Electricity Usage Data (144 monthly observations):
Correlogram of the original electricity usage data:
26
ARIMA Model:
Audit Trail - Statistics

Accuracy Measures Value Forecast Statistics Value
Durbin
AIC 2,234.86 1.96
Watson(12)
BIC 2,240.80 Mean 17,474.95
Mean Absolute Percentage Error
2.18% Median 17,260.45
(MAPE)
R-Square 83.94% Variance 1,962,764.37
Adjusted R-Square 83.82% Ljung-Box 36.38
Root Mean Square Error 559.54
Theil 0.42
Method Statistics Value

Method Selected Box Jenkins
Model Selected ARIMA(1,0,0) × (0,1,1)
T-Test For Non Seasonal AR 6.15
T-Test For Seasonal MA 6.69
This electricity usage result was obtained by setting the "seasonality" to "12" in the first
ForecastX dialog box and using 30 lags for the Ljung-Box. The model was chosen automatically
by ForecastX. The critical value of the Ljung-Box with 30 − 2 = 28 degrees of freedom is about
38.
In the electricity usage data above

A) the chosen ARIMA model took into account seasonality.
B) the chosen ARIMA model does not include any adjustment for seasonality.
C) the chosen ARIMA model appears to suffer from autocorrelation.
D) the chosen ARIMA model appears to suffer from multicollinearity.
Answer: A
Gradable: automatic
27
61) Electricity Usage Data (144 monthly observations):
Correlogram of the original electricity usage data:
28
ARIMA Model:

Durbin
AIC 2,234.86 1.96
Watson(12)
BIC 2,240.80 Mean 17,474.95
2.18% Median 17,260.45
(MAPE)
R-Square 83.94% Variance 1,962,764.37
Adjusted R-Square 83.82% Ljung-Box 36.38
Root Mean Square Error 559.54
Theil 0.42

T-Test For Seasonal MA 6.69
This electricity usage result was obtained by setting the "seasonality" to "12 in the first
ForecastX dialog box and using 30 lags for the Ljung-Box. The model was chosen automatically
by ForecastX. The critical value of the Ljung-Box with 30 − 2 = 28 degrees of freedom is about
38.
In the electricity usage model above

A) the residuals do not appear to be white noise.
B) the "Q" statistic is not statistically significant.
C) there is one autoregressive term.
D) there are no seasonal terms.
Answer: C
Explanation: This result is obtained by setting the "seasonality" to "12" in the first dialog box
and using 30 lags for the Ljung-Box. The model was chosen automatically by ForecastX. The
critical value of the Ljung-Box with 30 − 2 = 28 degrees of freedom is about 38. The model is
acceptable.
Topic: Total Houses Sold
Gradable: automatic
29
62)
AIC 75.20 Durbin-Watson(1) 2.08
BIC 81.80 Mean 0.80
Mean Absolute Percentage Error (MAPE) 43.45% Max 1.64
R-Square 35.63% Min 0.14
Adjusted R-Square 35.30% Sum Squared Deviation 25.97
Root Mean Square Error 0.29 Range 1.50
Theil 0.63 Ljung-Box 7.33

T-Test For Constant 39.07
T-Test For Non Seasonal MA − 11.13
Consider the ARIMA model specified above.

A) This is an MA1 model.
B) This is an AR1 model.
C) There is one degree of normal differencing used.
D) The model adjusts for seasonality.
Answer: A
Topic: Total Houses Sold
Gradable: automatic
30
63)
BIC 87.88 Mean 0.94
Mean Absolute Percentage Error (MAPE) 33.12% Max 1.71
Adjusted R-Square 23.37% Sum Squared Deviation 22.60

The ARIMA model above represents an analysis of data with 200 observations and the default
values for the diagnostic statistics. Is the "Q" statistic acceptable?
A) Yes, because the critical value is about 26.
B) Yes, because the critical value is about 32.
C) No, because the critical value is about 17.
D) No, because the critical value is about 6.
Answer: C
Gradable: automatic
31
64)
BIC 102.21 Mean 4.40
8.06% Max 6.36
(MAPE)
Sum Squared
Adjusted R-Square 91.51% 219.27
Deviation

T-Test For Non Seasonal AR −2.51
T-Test For Non Seasonal AR −1.66
The ARIMA model above was estimated from 200 observations of data. Twelve lags were used
to calculate the "Q" statistic.
The ARIMA model above would require how many degrees of freedom in the test statistic to
determine if the model is appropriate?
A) 3
B) 6
C) 10
D) 14
Answer: C
Gradable: automatic
32
65)
AIC 1,017.13 Durbin-Watson 1.96
BIC 1,031.27 Mean 1,748.21
7.04% Standard Deviation 223.30
(MAPE)
R-Square 53.03% Max 2,272.60
Adjusted R-Square 49.77% Min 1,281.30
Root Mean Square Error 152.05 Mode 1,878.20
Theil 0.69 Range 991.30
Ljung-Box 13.48

T-Test For Non Seasonal MA 0.00
T-Test For Seasonal MA −1.34
T-Test For Seasonal MA −1.02
The ARIMA model above was estimated using 78 quarterly observations. Using the
recommended diagnostic statistic (with the recommended lag structure), examine whether this is
an appropriate model.
A) The model is appropriate because the critical value is about 17.
B) The model is appropriate because the critical value is about 33.
C) The model is inappropriate because the critical value is about 8.
D) The model is inappropriate because the critical value is about 12.
Answer: A
Explanation: Because this is a seasonal model (as estimated by ForecastX) the number of lags
used by the researcher should be 16 (i.e., four times the number of seasons). Thus the critical
value is found in the chi-square with 16 – 5 degrees of freedom to be about 17.
Gradable: automatic
33
66)
The correlogram above was calculated from the residuals to an ARIMA model that analyzed
quarterly data.
A) The model appears to have produced white noise.
B) The model does not seem to be an appropriate model.
C) The model appears to be seasonal.
D) The model could be an AR16.
Answer: A
Difficulty: 1 Easy
Gradable: automatic
34
67) A possible problem (or at least a consideration) that should be taken into account when using
ARIMA would be
A) multicollinearity.
B) autocorrelation.
C) overfitting.
D) the Slutsky-Yule effect.
Answer: C
Difficulty: 1 Easy
Topic: Overfitting
Gradable: automatic
68) In order to detect overfitting the researcher

A) should examine different samples of the data to see if that produces unstable results.
B) should note that an overfit model will have a low forecast error.
C) will usually consult the Durbin-Watson statistic.
D) could use the t-statistics of the individual coefficients.
Answer: A
Difficulty: 1 Easy
Topic: Overfitting
Gradable: automatic
35
69)
Examine the autocorrelation plot shown. What would likely be the dominant cause of this
pattern?
A) Random variation
B) Cyclicality
C) Seasonality
D) Trend
Answer: D
Difficulty: 1 Easy
Gradable: automatic
36
Test Bank for Forecasting and Predictive Analytics with Forecast X (TM), 7th Edition, Barry
70)
Examine the autocorrelation plot shown. What might cause this pattern?
A) Trend mixed with seasonality
B) Trend mixed with cyclicality
C) Seasonality mixed with cyclicality
D) Seasonality alone
Answer: A
Difficulty: 1 Easy
Gradable: automatic
71) ARIMA (Box-Jenkins) models are able to replicate almost any pattern found in data. While
this is an attractive characteristic of the estimation process, it may also cause a problem not
encountered with many other estimating models. What is that problem?
A) Hildreth-Lu Complex
B) Heteroscedasticity
C) Overfitting
D) Underfitting
Answer: C
Difficulty: 1 Easy
Topic: Overfitting
Gradable: automatic
37
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1) Why are ARIMA (Box-Jenkins) models often referred to as "black boxes"?

8) "White noise" refers to model forecast errors that are

11) Moving-average (or MA type) ARIMA models are best described as

12) Autocorrelation and partial autocorrelation functions differ in

19) Autoregressive models are best described as

28) ARMA(p, q) models have autocorrelation and partial-autocorrelation functions that

35) The order of an ARMA(p, q) process can best be determined by the

36) Which of the following are incorrect?

39) ARMA models applied to non-stationary data are called

41) Most economic time series are integrated of what order?

52) The Q-statistic follows which probability distribution?

What ARIMA model is suggested by the above correlogram?

What ARIMA model is suggested by the correlogram above?

The correlogram above suggests what type of ARIMA model?

Correlogram of the original electricity usage data:

Audit Trail - Statistics

Method Statistics Value

In the electricity usage data above

Correlogram of the original electricity usage data:

Audit Trail - Statistics

Method Statistics Value

In the electricity usage model above

Method Statistics Value

Consider the ARIMA model specified above.

Method Statistics Value

Method Statistics Value

Method Statistics Value

68) In order to detect overfitting the researcher

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