Based on a series of length n = 100, we fit an AR(2) model and obtain residual autocorrelations of ₁ = 0.14, 2 = 0.15, and 3 = 0.18. If the maximum likelihood estimates are $1 = 1 and 2 = -1.1, do these residual autocorrelations support the AR(2) specification? Individually? Jointly? Justify your answers.

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Based on a series of length n = 100, we fit an AR(2) model and obtain residual autocorrelations
of ₁ = 0.14, 2 = 0.15, and 3 = 0.18. If the maximum likelihood estimates are $1 = 1 and 2 = -1.1, do
these residual autocorrelations support the AR(2) specification? Individually? Jointly? Justify your answers.
Transcribed Image Text:Based on a series of length n = 100, we fit an AR(2) model and obtain residual autocorrelations of ₁ = 0.14, 2 = 0.15, and 3 = 0.18. If the maximum likelihood estimates are $1 = 1 and 2 = -1.1, do these residual autocorrelations support the AR(2) specification? Individually? Jointly? Justify your answers.
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