General Studies · Time Series Analysis
Consider a time series process with a unit root. I. It is non-stationary in its levels form. II. First differencing the series can induce stationarity. III. Stochastic shocks have permanent effects on its future path. IV. Its autocorrelations decay exponentially fast to zero. Which of the statements given above are correct?
- 1I, II and III only✓
- 2I and IV only
- 3II and III only
- 4I, II, III and IV
Correct answer
I, II and III only
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