CFA Practice Question

There are 208 practice questions for this study session.

CFA Practice Question

The ______ is the test to determine whether a time series is covariance stationary.
A. Durbin-Watson test.
B. Dickey-Fuller test.
C. First differenced variable test.
Explanation: The Dickey-Fuller test for a unit root is the most popular test of nonstationarity.

User Contributed Comments 2

User Comment
StJohnDale Covariance Stationary - a time series when its expected value and variance are constant (+finite) and its covariance with itself is constant (+finite)
StJohnDale Unit Root - time series that is not covariance stationary is said to have a unit root
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