I have two quick questions, both are from Schweser reading 13.
Q18: It’s said that a random walk cannot be fit as an AR(1) model. I thought you can still use AR(1) to model a random walk. It’s just that the AR process won’t be stationary, no?
Q19: Dickey-Fuller unit root test: if the test statistic is significant, we reject the null hypothesis of a unit root, which means that the process is stationary, right? So statement C is not correct. Why is C not the answer (since it asks for the incorrect statement).
Thanks in advance guys. |