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Basic Question 0 of 17
What is the approach to check for seasonality of a time series?
II. Test whether the residuals have significant serial correlation by using the Durbin-Watson statistic.
III. Examine the data to see whether the seasonal autocorrelations of the residuals from an AR model are significant and whether the autocorrelations before and after the seasonal autocorrelations are significant.
I. Graph the data and check for regular seasonal patterns.
II. Test whether the residuals have significant serial correlation by using the Durbin-Watson statistic.
III. Examine the data to see whether the seasonal autocorrelations of the residuals from an AR model are significant and whether the autocorrelations before and after the seasonal autocorrelations are significant.
User Contributed Comments 2
| User | Comment |
|---|---|
| MasterD | The Durbin-Watson statistic is used to test Serial Correlation (CFA L2, 2008 Vol 1 Pg 301) |
| akirchner1 | Durbin -Watson can't be used for time series when the independent variable includes past values of the dependent variable. |
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Learning Outcome Statements
describe the steps of the unit root test for nonstationarity and explain the relation of the test to autoregressive time-series models;
explain how to test and correct for seasonality in a time-series model and calculate and interpret a forecasted value using an AR model with a seasonal lag;
CFA® 2024 Level II Curriculum, Volume 1, Module 5.