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Basic Question 5 of 11
The choice of a sample period is critical when modeling a financial time series because
II. The regression coefficient estimates of a time-series model can be quite different for those estimated using a shorter or longer sample period.
III. The choice of sample period can affect the decision of using a particular time-series model.
I. The regression coefficient estimates of a time-series model can be quite different for those estimated using an earlier or later sample period.
II. The regression coefficient estimates of a time-series model can be quite different for those estimated using a shorter or longer sample period.
III. The choice of sample period can affect the decision of using a particular time-series model.
User Contributed Comments 1
| User | Comment |
|---|---|
| vi2009 | financial time series .. since historical facts may not help to forecast the future |
I am using your study notes and I know of at least 5 other friends of mine who used it and passed the exam last Dec. Keep up your great work!
Barnes
Learning Outcome Statements
describe the structure of an autoregressive (AR) model of order p and calculate one- and two-period-ahead forecasts given the estimated coefficients;
explain how autocorrelations of the residuals can be used to test whether the autoregressive model fits the time series;
explain mean reversion and calculate a mean-reverting level;
contrast in-sample and out-of-sample forecasts and compare the forecasting accuracy of different time-series models based on the root mean squared error criterion;
CFA® 2025 Level II Curriculum, Volume 1, Module 5.