- 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
CFA Practice Question
Select the correct statement(s):
II. A random walk series is a special case of AR (1) model with b0 = 0 and b1 = 1.
I. The cointegrated regression estimates the short-term relation between two time series.
II. A random walk series is a special case of AR (1) model with b0 = 0 and b1 = 1.
A. II only
B. Both are true
C. None of them
Explanation: I: Long-term, not short-term.
User Contributed Comments 2
| User | Comment |
|---|---|
| Flavorman | The cointegrated regression estimates the longTerm relationship btw 2 time series |
| Flavorman | A random walk series is a special case of AR(1) model with b0=0 & b1=1 |