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Transcript of VEE Statistics
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7/31/2019 VEE Statistics
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Syllabus for the Transitional Exam for
VEE-Applied Statistical Methods
This 90-minute, multiple-choice examination is administered by the CAS to satisfy the Validation by
Educational Experience (VEE)Applied Statistical Methods requirement for candidates who have not
taken the required courses. The first administration of this exam will occur in August 2005. Details about
the 2005 administration, including the date and exam fee, will be posted in the Admissions section ofthe CAS Web Site (www.casact.org) in November 2004.
LEARNING OBJECTIVES
The candidate is expected to demonstrate an understanding of the terminology and underlying
assumptions of regression and time series models, and to be able to apply and analyze an appropriately
selected model when solving insurance related problems. Specifically, the candidate is expected to be
able to perform the tasks listed in the learning objectives below.
A. Regression1. Estimate the parameters of linear regression models.
2. Test hypotheses and construct confidence intervals for the parameters of linear regression
models.3. Determine the appropriateness of a regression model by analyzing residuals and applying the F-
test.
4. Calculate elasticities and partial correlations.
5. Apply appropriate measures when the data is observed to possess one or more of the following
characteristics:a. Heteroscedasticity
b. Serial correlation
c. Multicollinearity
d. Nonlinearity
6. Estimate and determine confidence intervals for future observations using linear regression
models.
7. Demonstrate familiarity with inherently nonlinear regression models and set up equations that
would be used in estimating parameters of such models.B. Time Series
1. Distinguish between regression and time series models.
2. Distinguish between and apply deterministic and stochastic time series models.
3. Recognize characteristics of stationary time series and compute autocorrelation functions.
4. Analyze data using a random walk model.
5. Estimate the parameters of ARIMA models, and the simpler models AR, MA, and ARMA as
special cases.6. Run diagnostic checks to validate a specified time series model.
7. Generate forecasts using ARIMA, and simpler, models and develop confidence intervals for the
forecasts.8. Demonstrate familiarity with the properties of ARIMA forecasts.
READINGS
Pindyck, R.S.; and Rubinfeld, D.L.,Econometric Models and Economic Forecasts (Fourth
Edition), 1998, Irwin McGraw-Hill, Boston, Chapters 1, 3, 4, 5, 6 (excluding Appendix 6.1),
Sections 8.1, 8.2, 10.1, Chapters 15, 16 (excluding Appendix 16.1), 17 (excluding Appendix17.1), and 18.