Stationarity And Moving Averages Flashcards
1
Q
Stationary def
A
In the same shape/ distribution for long time - 10 years
2
Q
Week stationary properties
A
Constant mean
Constant lag
Constant variance
3
Q
White noise process
A
Constant mean and variance
No pattern
4
Q
Box and pierce
A
Test for joint hypothesis that the lag of the t coefficients are equal to 0
Using q statistic formula
5
Q
Difference between box and pierce and ljung box
A
Ljung box- bigger sample properties
6
Q
Moving average
A
Used to structure returns where there’s autocorrelation
7
Q
Autoregressive
A
Contains lags of dependent variable
Has stationary condition- roots lie outside the unit circle
8
Q
Arma
A
Mix of moving average and autoregressive models
9
Q
How to build arma
A
Use box and Jenkins- identify, estimate, check
10
Q
Test for autocorrelation
A
Think lagged:
Ut= put_1 +vt
