CAS Exam MAS-I Fall 2018, Question 44
Study guide: Exam MAS-II
You are given the following statements about time series and generalized least squares regression (GLS):
- I. When there is positive serial correlation in a time series, the standard errors of the estimated regression parameters are likely to be over-estimated.
- II. GLS is an improvement over ordinary least squares regression for serially correlated time series because GLS is based on maximizing the likelihood given the white noise in the data.
- III. GLS can be used to provide better estimates of standard errors of the regression parameters to account for autocorrelation in the residual series.
Determine which of the above statements are true.
- A) I only
- B) II only
- C) III only
- D) I, II and III
- E) The answer is not given by (A), (B), (C), or (D)
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