(a) State and discuss the conditions that a weakly stationary process has to satisfy. [5 marks]…

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(a) State and discuss the conditions that a weakly stationary process has to satisfy. [5 marks] (b) A plot of a time series Yt , together with its sample ACF and PACF, are displayed in Figures 1-2 below . Explain, with reasons, whether or not you think this is a stationary series and explain the purpose of the two rightmost columns headed ‘Q-Stat’ and ‘Prob’ in the lower panel. [5 marks] (c) Three different models for the above data have been estimated with details presented in Figures 3-8 below (after question 3). Write down the three fitted models and discuss which is the best among the three. Finally, explain with reasons whether you can think of a model specification that might prove preferable to both of those presented. [15 marks]

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