- CFA Exams
- CFA Exam: Level II 2021
- Study Session 2. Quantitative Methods (1)
- Reading 6. Time-Series Analysis
- Subject 2. Autoregressive (AR) time-series models

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**CFA Practice Question**

The choice of a sample period is critical when modeling a financial time series because

II. The regression coefficient estimates of a time-series model can be quite different for those estimated using a shorter or longer sample period.

III. The choice of sample period can affect the decision of using a particular time-series model.

I. The regression coefficient estimates of a time-series model can be quite different for those estimated using an earlier or later sample period.

II. The regression coefficient estimates of a time-series model can be quite different for those estimated using a shorter or longer sample period.

III. The choice of sample period can affect the decision of using a particular time-series model.

Correct Answer: I, II and III

I and II: The estimates can change substantially across different time periods even if the model used is the same. III: The choice of model itself can be depend on the sample period too.

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**User Contributed Comments**
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Comment |
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vi2009 |
financial time series .. since historical facts may not help to forecast the future |