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标题: 13: Time-Series Analysis-LOS h习题精选 [打印本页]
作者: 土豆妮    时间: 2010-4-8 16:02     标题: [2010]Session 3:-Reading 13: Time-Series Analysis-LOS h习题精选

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

LOS h: Describe the characteristics of random walk processes and contrast them to covariance stationary processes.

 

 

 

Given an AR(1) process represented by xt+1 = b0 + b1×xt + et, the process would not be a random walk if:

A)
 b1 = 1.
B)
 E(et)=0.
C)
 the long run mean is b0 + b1.

作者: 土豆妮    时间: 2010-4-8 16:03

Given an AR(1) process represented by xt+1 = b0 + b1×xt + et, the process would not be a random walk if:

A)
 b1 = 1.
B)
 E(et)=0.
C)
 the long run mean is b0 + b1.


For a random walk, the long-run mean is undefined. The slope coefficient is one, b1=1, and that is what makes the long-run mean undefined: mean = b0/(1-b1).

作者: 土豆妮    时间: 2010-4-8 16:03

David Brice, CFA, has tried to use an AR(1) model to predict a given exchange rate. Brice has concluded the exchange rate follows a random walk without a drift. The current value of the exchange rate is 2.2. Under these conditions, which of the following would be least likely?

A)
 The forecast for next period is 2.2.
B)
 The residuals of the forecasting model are autocorrelated.
C)
 The process is not covariance stationary.

作者: 土豆妮    时间: 2010-4-8 16:03

David Brice, CFA, has tried to use an AR(1) model to predict a given exchange rate. Brice has concluded the exchange rate follows a random walk without a drift. The current value of the exchange rate is 2.2. Under these conditions, which of the following would be least likely?

A)
 The forecast for next period is 2.2.
B)
 The residuals of the forecasting model are autocorrelated.
C)
 The process is not covariance stationary.


The one-period forecast of a random walk model without drift is E(xt+1) = E(xt + et ) = xt + 0, so the forecast is simply xt = 2.2. For a random walk process, the variance changes with the value of the observation. However, the error term et = xt - xt-1 is not autocorrelated.

作者: 土豆妮    时间: 2010-4-8 16:03

Which of the following statements regarding time series analysis is FALSE?

A)
 We cannot use an AR(1) model on a time series that consists of a random walk.
B)
 An autoregressive model with two lags is equivalent to a moving-average model with two lags.
C)
 If a time series is a random walk, first differencing will result in covariance stationarity.

作者: 土豆妮    时间: 2010-4-8 16:06

Which of the following statements regarding time series analysis is FALSE?

A)
 We cannot use an AR(1) model on a time series that consists of a random walk.
B)
 An autoregressive model with two lags is equivalent to a moving-average model with two lags.
C)
 If a time series is a random walk, first differencing will result in covariance stationarity.


 

An autoregression model regresses a dependent variable against one or more lagged values of itself whereas a moving average is an average of successive observations in a time series. A moving average model can have lagged terms but these are lagged values of the residual.

作者: 土豆妮    时间: 2010-4-8 16:06

A time series x that is a random walk with a drift is best described as:

A)

xt = b0 + b1 xt ? 1.

B)

xt = b0 + b1xt ? 1 + εt.

C)

xt = xt ? 1 + εt.

作者: 土豆妮    时间: 2010-4-8 16:07

A time series x that is a random walk with a drift is best described as:

A)

xt = b0 + b1 xt ? 1.

B)

xt = b0 + b1xt ? 1 + εt.

C)

xt = xt ? 1 + εt.



The best estimate of random walk for period t is the value of the series at (t ? 1). If the random walk has a drift component, this drift is added to the previous period’s value of the time series to produce the forecast.

作者: luqian55    时间: 2010-5-30 17:04

thanks
作者: annyyu    时间: 2010-11-30 06:20

re



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