The Dow Jones Utilities Index, Aug. 28–Dec. 18, 1972; DOWJ.TSM The very slowly decaying positive sample ACF of the time series contained in the file DOWJ.TSM this time series suggests differencing at...

The Dow Jones Utilities Index, Aug. 28–Dec. 18, 1972; DOWJ.TSM The very slowly decaying positive sample ACF of the time series contained in the file DOWJ.TSM this time series suggests differencing at lag 1 before attempting to fit a stationary model. One application of the operator(1−B)produces a new series {Y_t
} with no obvious deviations from stationarity.  We shall therefore try fitting an AR process to this new series

Y_t
=D_t
−D<sub>t

−1</sub>