CFA Practice Question

There are 208 practice questions for this study session.

CFA Practice Question

The following table gives the regression output of an AR(1) model.

Which statement is true about the time series?

I. There is a strong seasonal autocorrelation of the residuals.
II. The quarterly sales amount looks like a random walk.
III. We cannot reject the null hypothesis that the fourth autocorrelation is equal to 0.
IV. The intercept differs significantly from 0.
A. I and III
B. II and IV
C. I and IV
Explanation: The critical value for a t-statistic is about 2.0 at the 0.05 significance level and 66 degrees of freedom. The lag 1, intercept and fourth autocorrelation all have a t-statistics that are larger than 2.0 so we can reject the null hypothesis that they are 0.

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