- CFA Exams
- CFA Level I Exam
- Study Session 2. Quantitative Methods (1)
- Reading 6. Time-Series Analysis
- Subject 3. Random Walks and Unit Roots
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 |