Financial Risk Manager Part 1
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Which of the following statements are true with regard to sample partial correlations?
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NNikitesh
A
They are identical to sample autocorrelations
B
They utilize non-linear regressions
C
They typically fall within a one-standard-error band
D
They differ from sample autocorrelation in the size of the dataset to which they apply
Explanation:
The correct answer is D. Sample partial correlations differ from sample autocorrelations in that they perform linear regression on a finite data series, while sample autocorrelations measure the correlation between observations at different time lags.
Explanation:
- Option A is incorrect: Sample partial correlations are not identical to sample autocorrelations. They measure different statistical relationships.
- Option B is incorrect: Sample partial correlations utilize linear regressions, not non-linear regressions.
- Option C is incorrect: There is no standard rule that sample partial correlations typically fall within a one-standard-error band.
- Option D is correct: Sample partial correlations differ from sample autocorrelation in the size of the dataset to which they apply, as stated in the explanation that "the sample partial correlation differs from sample autocorrelation in that it performs linear regression on a finite data series."
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