A third-order autoregressive model, AR (3) was fit to monthly closing stock pric

Question

A third-order autoregressive model, AR (3) was fit to monthly closing stock prices, adjusted for dividends, of Boeing Corporation from January 2006 through August 2008 (closing price on the first trading day of the month). Based on the results shown below, at = .05 which of the following statement is true?

        Final Estimates of Parameters

        Type         Coef SE Coef      T      P

        AR   1     0.9247   0.1898   4.87 0.000

        AR   2     0.0429   0.2603   0.16 0.870

        AR   3    -0.0764   0.1959 -0.39 0.699

        Constant    8.362    1.223   6.84 0.000

                      I. the first lagged variable is significant.

                  II. the second lagged variable is significant.

                  III. the first lagged variable is not significant.

A) I, II, and III     

B) III only            

C) II only             

D) Both II and III

E) I only

Explanation / Answer

By looking at p values of the tests. P value for AR 1 is 0.000 which is significant while for other models it is not significant. So, the first lagged variable is significant. ie. the answer of this quesion is option E.

Related Questions

Navigate

• Browse (All)
• Browse A
• Subjects

Integrity-first tutoring: explanations and feedback only — we do not complete graded work. Learn more.