The Dow Jones Utilities Index, Aug. 28–Dec. 18, 1972; DOWJ.TSM The very slowly decaying positive...

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 {Yt} with no obvious deviations from stationarity.  We shall therefore try fitting an AR process to this new series

YtDt− Dt−1

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