CAS Exam MAS-I Fall 2018, Question 42

Study guide: Exam MAS-II

A time series is modeled using the function below:

x_t = \alpha_0 + \alpha_1 \cdot t + z_t

• z_t is a white noise series
• z_1 = -9.6
• z_3 = -4.7
• The first order difference at time t = 2 is \nabla x_2 = 26.2
• The first order difference at time t = 3 is \nabla x_3 = -1.3
• x_3 = 45.3

Calculate the forecast value of x_7.

• A) Less than 47
• B) At least 47, but less than 67
• C) At least 67, but less than 87
• D) At least 87, but less than 107
• E) At least 107

Answer this question and see the worked solution

Concepts tested

• Time Series
• Differencing
• Time Series Forecast
• Deterministic and Stochastic Trend

More questions from this set

• CAS Exam MAS-I Fall 2018, Question 41
• CAS Exam MAS-I Fall 2018, Question 43