- CFA Exams
- CFA Level I Exam
- Topic 1. Quantitative Methods
- Learning Module 3. Model Misspecification
- Subject 3. Serial Correlation
CFA Practice Question
To correct for serial correlation, we should:
II. adjust the standard errors of the estimated parameters.
III. adjust the r-squared.
IV. adjust the estimated parameters.
I. adjust the t-statistics of the estimated parameters.
II. adjust the standard errors of the estimated parameters.
III. adjust the r-squared.
IV. adjust the estimated parameters.
Correct Answer: II
We should directly adjust the standard errors of the estimated parameters to account for the serial correlation. This is also known as computing robust standard errors. Modifying the regression equation to eliminate serial correlation is not recommended.
User Contributed Comments 1
| User | Comment |
|---|---|
| flora_oywj | why I is not correct? |