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Assume that you have estimated an AR(4) model for the time series, yt as follows: yt=+1y(t1)+2y(t
2)+3y(t3)+4y(t4)+ut,t=1,2,3,,900.Thenyouobtained4()=0.05. What is the null hypothesis if you are
testing whether is AR(4) or AR(3)? What would be your suggestion on a proper model for the time
series, if we choose 5% significance level? The critical values at 5%:1.96. a) H0:_4=0. The model
is an AR(4). b) H0:_4=0. The model is an AR(3). c) H_0: _4=1. The model is an AR(4). d) H0:4=1.
The model is an AR(3).

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  • 1. Assume that you have estimated an AR(4) model for the time series, yt as follows: yt=+1y(t1)+2y(t 2)+3y(t3)+4y(t4)+ut,t=1,2,3,,900.Thenyouobtained4()=0.05. What is the null hypothesis if you are testing whether is AR(4) or AR(3)? What would be your suggestion on a proper model for the time series, if we choose 5% significance level? The critical values at 5%:1.96. a) H0:_4=0. The model is an AR(4). b) H0:_4=0. The model is an AR(3). c) H_0: _4=1. The model is an AR(4). d) H0:4=1. The model is an AR(3).