Computing sample lag correlations for a time series with n ¼ 100 values, whose variance is 100, yields r 1 = 0.80, r 2 = 0.60, and r 3 = 0.50. a. Use the Yule-Walker equations to fit AR(1), AR(2), and...

Computing sample lag correlations for a time series with n ¼ 100 values, whose variance is 100, yields r₁
= 0.80, r₂
= 0.60, and r₃
= 0.50.

a. Use the Yule-Walker equations to fit AR(1), AR(2), and AR(3) models to the data. Assume the sample size is large enough that Equation 9.26 provides a good estimate for the whitenoise variance.

b. Select the best autoregressive model for the series according to the BIC statistic.

c. Select the best autoregressive model for the series according to the AIC statistic.