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I'm having trouble (and a lot of doubts) interpreting ACF/PACF plots of both the sample and the r esiduals.
ACF/PACF plots of both the sample and the r
I can't upload the text but I can say that the time series of interest is the NASDAQ composite index which Figure 1 shows the raw (IXIC) and the first differenced (dIXIC) data together with the estimated autocorrelation and partial autocorrelation functions. An ARIMA(2,1,1) model has been fitted.
FIGURE 1:
FIGURE 2:
FIGURE 3:
My problems are: which model can I suggest that can improve the results?
What are the information that can give me the ACF plot of the residuals? What about the standardized residuals, the p-values and the squared residuals? (FIGURE 2 and 3)
Basically, what is the difference from consulting the ACF plot of the sample data vs. the ACF of the residuals? Do they give different information?
- Attachment 1
- Attachment 2
- Attachment 3
