Session 3: Quantitative Methods for Valuation
Reading 13: Time-Series Analysis
LOS n: Explain how time-series variables should be analyzed for nonstationarity and/or cointegration before use in a linear regression.
One choice a researcher can use to test for nonstationarity is to use a:
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A) |
Dickey-Fuller test, which uses a modified t-statistic. | |
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B) |
Breusch-Pagan test, which uses a modified t-statistic. | |
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C) |
Dickey-Fuller test, which uses a modified χ2 statistic. | |
The Dickey-Fuller test estimates the equation (xt – xt-1) = b0 + (b1 - 1) * xt-1 + et and tests if H0: (b1 – 1) = 0. Using a modified t-test, if it is found that (b1–1) is not significantly different from zero, then it is concluded that b1 must be equal to 1.0 and the series has a unit root. | 
发表于 2011-3-3 15:09
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