Which of the Following Conditions Must Hold for the Autoregressive

question 12

Multiple Choice

Which of the following conditions must hold for the autoregressive part of an ARMA model to be stationary?

• A) All roots of the characteristic equation must lie outside the unit circle
• B) All roots of the characteristic equation must lie inside the unit circle
• C) All roots must be smaller than unity
• D) At least one of the roots must be bigger than one in absolute value.

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