# [R-SIG-Finance] [R-sig-finance] Confusing result with AIC and ACF

RON70 ron_michael70 at yahoo.com
Tue Jan 27 03:40:51 CET 2009

```One week, still no suggestion. Is my question not understandable or
Regards,

RON70 wrote:
>
> Hi, I have a strange problem with following dataset :
>
> -0.075851693
> -0.046125504
> -0.009117161
> 0.025569817
> 0.034882743
> 0.073671497
> 0.063805297
> 0.062306796
> 0.072343820
> 0.058354121
> -0.007635359
> 0.086790779
> 0.085487789
> 0.113577103
> 0.021293381
> 0.089423068
> 0.090485998
> 0.128847827
> 0.011859335
> 0.058794744
> 0.065909368
> 0.020887431
> 0.085387467
> 0.097375525
> 0.108981417
> 0.044289044
> 0.071428571
> 0.052430556
> 0.056307049
> 0.041957314
>
> If I see the ACF then, it seems that this values are random. However next
> I fit two regressions and get the AIC values :
>
> 1. regression of y (above series) on : y[-1], y[-2], y[-3], y[-4] and
> x[-1], x[-2], x[-3], x[-4]
>
> 2. regression of y on y[-1], y[-2], y[-3] and x[-1], x[-2], x[-3], x[-4]
>
> Here y[-p] is the p-th lagged value. and x is some other variable.
>
> AIC for those regressions are : -6.673 and -6.636. This means 4-th lag of
> y has some explanatory power on y. Therefore this result is coming
> confusing when I compare with ACF figures [which tells y is random]
>
> Can ppl here suggest me what inference I should make on y?
>
> Regards,
>
>

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