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Subject 2. Autoregressive (AR) Time-Series Models PDF Download
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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® 2023 Level II Curriculum, Volume 1, Module 5

User Contributed Comments 3

User Comment
carst Could anyone please explain what the main idea behind all this is?
alai2008 The point is that we estimate models that use as independent variable a previous value of the dependent variable. I.e. X = 7 +2 x Xt-1
KKV89 Where is text here?
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I just wanted to share the good news that I passed CFA Level I!!! Thank you for your help - I think the online question bank helped cut the clutter and made a positive difference.
Edward Liu

Edward Liu

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