CAS Exam MAS-I Fall 2019, Question 43

Study guide: Exam MAS-II

You are given the following ARMA(p, q) model:

x_t = \left(\frac{3}{2}\right)x_{t-1} - \left(\frac{1}{2}\right)x_{t-2} + w_t - w_{t-1} + \left(\frac{1}{4}\right)w_{t-2}

Determine (p, q) and whether the model is stationary and/or invertible.

• A) p = 2, q = 2, Stationary, Invertible
• B) p = 3, q = 3, Stationary, Not Invertible
• C) p = 3, q = 3, Not Stationary, Not Invertible
• D) p = 2, q = 2, Not Stationary, Invertible
• E) p = 2, q = 2, Not Stationary, Not Invertible

Answer this question and see the worked solution

Concepts tested

• ARIMA
• Stationarity
• Autoregressive Model
• Moving Average Model
• Backward Shift Operator

More questions from this set

• CAS Exam MAS-I Fall 2019, Question 42
• CAS Exam MAS-I Fall 2019, Question 44