The choice of a sample period is critical when modeling a financial time series because

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.

Correct Answer: I, II and III

I and II: The estimates can change substantially across different time periods even if the model used is the same. III: The choice of model itself can be depend on the sample period too.