13: Time-Series Analysis-LOS m习题精选 choice, center, before, div, class

土豆妮

Session 3: Quantitative Methods: Quantitative
Methods for Valuation
Reading 13: Time-Series Analysis

LOS m: 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:

A) Breusch-Pagan test, which uses a modified t-statistic.

B) Dickey-Fuller test, which uses a modified χ2 statistic.

C) Dickey-Fuller test, which uses a modified t-statistic.

土豆妮

One choice a researcher can use to test for nonstationarity is to use a:

A) Breusch-Pagan test, which uses a modified t-statistic.

B) Dickey-Fuller test, which uses a modified χ2 statistic.

C) Dickey-Fuller test, which uses a modified t-statistic.

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The Dickey-Fuller test estimates the equation (x_t – x_t-1) = b₀ + (b₁ - 1) * x_t-1 + e_t 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.

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