- 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? |