CFA Practice Question

There are 208 practice questions for this study session.

CFA Practice Question

If linear regression is used to model the relationship between two time series, and a test shows that both time series have a unit root, we should:
A. not use linear regression.
B. safely use linear regression only if the time-series are co-integrated.
C. safely use linear regression only if the time-series are not co-integrated.
Explanation: The (Engle-Granger) Dickey-Fuller test can be used to determine if time series are cointegrated.

User Contributed Comments 2

User Comment
rana1970 I like the test name " Engle- Glenger. Or Dicky Fuller
rana1970 What is meant by unit root?
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