ISYE 6402 / ISYE 6402 Midterm Exam (Latest Update 2025 / 2026) Time Series Analysis | Questions & Answers | Grade A | 100% Correct - Georgia Tech

ISYE 6402 / ISYE 6402 Midterm
Exam (Latest Update )
Time Series Analysis | Questions &
Answers | Grade A | 100% Correct -
Georgia Tech


Question:
T/F
The error terms of the VAR model are both contemporaneously and auto-
correlated.
Answer:
FALSE - not always

,Question:
Two definitions of stationary and roots
Answer:
phi should have absolute value < 1
root abs(z) should not lie on unit circle




Question:
T/F For a stationary time series, the autocorrelation function is between -1
and 1 for all lags.
Answer:
TRUE




Question:
FALSE - Q might be way larger than P
Answer:

,Question:
T/F For Structural VAR models, restrictions are needed for parameters to be
identifiable. Having a B model means the B matrix must be an Identity
matrix.
Answer:
FALSE - restrictions are necessary, but B model means A = I. A model means
B=I




Question:
How many terms to estimate in a VAR model?
Answer:
In a n-variate system, the number of coefficients in each equation is 1+np and
the total number is n(1+np)=n+𝑛^2p

, Question:
The AR(1) process is causal if and only if the autoregressive parameter phi is
between -1 and 1. However, it is always invertible.
Answer:
TRUE - phi must be b/w -1 and 1, or root greater than one.




Question:




Answer:
TRUE