- CFA Exams
- CFA Level I Exam
- Topic 1. Quantitative Methods
- Learning Module 5. 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 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? |