Tag: autoregressive
Interview Questions
- AR(1) variance with a larger shock variance
- Lag-3 autocorrelation of an AR(1)
- AR(1) variance with a negative coefficient
- Back out the shock variance of an AR(1)
- Variance of a stationary AR(1) process
- AR(2) that fails the first inequality
- A stationary AR(2) with a coefficient above one
- AR(2) that fails only the third condition
- A stationary AR(2) with pseudo-cyclical behavior
- Is this AR(2) process stationary?
- Is this AR(1) series stationary?
- Half-life of a very persistent AR(1)
- Recover the AR(1) coefficient from a half-life
- Forecast-error variance of an AR(1)
- Half-life of mean reversion in an AR(1)