- 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. 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.

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**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 |