- CFA Exams
- CFA Level I Exam
- Study Session 2. Quantitative Methods (1)
- Reading 6. Time-Series Analysis
- Subject 6. Regressions with More Than One Time Series
CFA Practice Question
If linear regression is used to model the relationship between two time series, and a test shows that neither of the two time series has a unit root, we should:
A. safely use liner regression.
B. safely use linear regression only if the time-series are co-integrated.
C. not use linear regression only if the time-series are not co-integrated.
Explanation: In this case, both time series are covariance stationary.
User Contributed Comments 2
| User | Comment |
|---|---|
| shiva5555 | What do they mean by unit root? |
| jonan616 | unit root exists if b1 - 1 = 0 it means it is non-stationary and can be tested with dickey fuller. |