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Unformatted text preview: Derive a Lagrange Multiplier (LM) test for the null hypothesis that a model is ARMA(1,1) against the alternative that it is ARMA(1,3). How would you carry out a modified LM test based on the F distribution? 3. Given the accompanying graphs of the autocorrelations and partial autocorrelations of the original data for some time series, identify a potential model for each....
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- Fall '08