- CFA Exams
- CFA Level I Exam
- Study Session 2. Quantitative Methods (1)
- Reading 6. Time-Series Analysis
- Subject 6. Regressions with More Than One Time Series

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**CFA Practice Question**

Select the correct statement(s):

II. Stationarity in the past implies stationarity in the future.

I. A first-differenced random walk is a special case of AR (1) model with b0 = 0 and b1 = 0.

II. Stationarity in the past implies stationarity in the future.

A. I only

B. Both are true

C. None of them

**Explanation:**II: It does not guarantee it.

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**User Contributed Comments**
4

User |
Comment |
---|---|

dblueroom |
The first one is difficult, second one is way too easy. |

Flavorman |
key points=>>>>> random walk is a special case of AR(1)with b0=0 & b1=1 first difference random walk is a special case of AR(1) with b0=0 &b1=0. |

siggarusfigs |
but if it's differenced then it's no longer a random walk, right? |

chriswwu |
I think you are right, siggarusflgs, since b1<>1. |