- CFA Exams
- CFA Level I Exam
- Topic 1. Quantitative Methods
- Learning Module 5. Time-Series Analysis
- Subject 4. Seasonality in Time-Series Models
CFA Practice Question
If we use an AR (1) model to specify a time series (quarterly data), the correct equation that includes a seasonal lag is:
B. xt = b0 + b1 xt-1 + b2 xt-4 + εt.
C. xt = b0 + b1 xt-1 + b2 xt-4.
A. xt = b0 + b1 xt-1 + εt.
B. xt = b0 + b1 xt-1 + b2 xt-4 + εt.
C. xt = b0 + b1 xt-1 + b2 xt-4.
Correct Answer: B
User Contributed Comments 1
| User | Comment |
|---|---|
| akirchner1 | 'Quarterly' is key here which is why t-4 is used. Can't forget the error term though. |