CFA Practice Question

There are 208 practice questions for this study session.

CFA Practice Question

The Dickey-Fuller test shows that in order to test if a time series xt is a random walk with drift, we should conduct

A. a t-test of null hypothesis that b1 - 1 = 0, using conventional critical values for a t-test.
B. a t-test of null hypothesis that b1 - 1 = 0, using a revised set of critical values for a t-test. These revised values are larger than the conventional critical values.
C. a t-test of null hypothesis that b1 - 1 = 0, using a revised set of critical values for a t-test. These revised values are smaller than the conventional critical values.
Correct Answer: B

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Tukker CFA Lever 2, 2010 Vol , Pg 423
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