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[solution] » (b) Jan has collected a monthly time series consisting of 167 observations on the differenced log Ye


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(b) Jan has collected a monthly time series consisting of 167 observations on the differenced log Yen / $AU exchange rate and plotted the sample ACF for the series (see below). Use the Q LB (2) statistic to test Whether or not the series is a White?noise process at the 5% level of signi?cance. Write down your hypotheses, decision rule and conclusion. [3 marks] -0.20 0.20 0.60 1.00 ACF E l H O O l O O) O | | I I 0 . 001073 I I 0 . 121080 I R I I -0 . 084039 I RI I -0 . 052353 I RI I -0 . 054732 I R I I -0 . 095489 I IR I 0 . 044049 I RI I -0 . 057184 I I R I 0 . 062974 I I 0 . 009568 | | {Om?mc?yPOOMH H O Here ?R? represents the magnitudes of ACF values.
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[solution] » (b) Jan has collected a monthly time series consisting of 167 observations on the differenced log Ye.zip

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This paper was answered on 21-Sep-2019

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