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Basic Question 2 of 6
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
explain autoregressive conditional heteroskedasticity (ARCH) and describe how ARCH models can be applied to predict the variance of a time series;
CFA® 2026 Level II Curriculum, Volume 1, Module 5.