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标题: 13: Time-Series Analysis-LOS i习题精选 [打印本页]
作者: 土豆妮    时间: 2010-4-8 16:07     标题: [2010]Session 3:-Reading 13: Time-Series Analysis-LOS i习题精选

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

LOS i: Discuss the implications of unit roots for time-series analysis, explain when unit roots are likely to occur and how to test for them, and demonstrate how a time series with a unit root can be transformed so that it can be analyzed with an AR model.

 

 

 

Barry Phillips, CFA, has the following time series observations from earliest to latest: (5, 6, 5, 7, 6, 6, 8, 8, 9, 11). Phillips transforms the series so that he will estimate an autoregressive process on the following data (1, -1, 2, -1, 0, 2, 0, 1, 2). The transformation Phillips employed is called:

A)
 beta drift.
B)
 moving average.
C)
 first differencing.

作者: 土豆妮    时间: 2010-4-8 16:08

Barry Phillips, CFA, has the following time series observations from earliest to latest: (5, 6, 5, 7, 6, 6, 8, 8, 9, 11). Phillips transforms the series so that he will estimate an autoregressive process on the following data (1, -1, 2, -1, 0, 2, 0, 1, 2). The transformation Phillips employed is called:

A)
 beta drift.
B)
 moving average.
C)
 first differencing.


Phillips obviously first differenced the data because the 1=6-5, -1=5-6, .... 1 = 9 - 9, 2 = 11 - 9.

作者: 土豆妮    时间: 2010-4-8 16:08

Barry Phillips, CFA, has estimated an AR(1) relationship (xt = b0 + b1 × xt-1 + et) and got the following result: xt+1 = 0.5 + 1.0xt + et. Phillips should:

A)
 not first difference the data because b0 = 0.5 < 1.
B)
 not first difference the data because b1 ? b0 = 1.0 ? 0.5 = 0.5 < 1.
C)
 first difference the data because b1 = 1.

作者: 土豆妮    时间: 2010-4-8 16:08

Barry Phillips, CFA, has estimated an AR(1) relationship (xt = b0 + b1 × xt-1 + et) and got the following result: xt+1 = 0.5 + 1.0xt + et. Phillips should:

A)
 not first difference the data because b0 = 0.5 < 1.
B)
 not first difference the data because b1 ? b0 = 1.0 ? 0.5 = 0.5 < 1.
C)
 first difference the data because b1 = 1.


The condition b1 = 1 means that the series has a unit root and is not stationary. The correct way to transform the data in such an instance is to first difference the data.

作者: 土豆妮    时间: 2010-4-8 16:08

A time series that has a unit root can be transformed into a time series without a unit root through:

A)

calculating moving average of the residuals.

B)

first differencing.

C)

mean reversion.

作者: 土豆妮    时间: 2010-4-8 16:08

A time series that has a unit root can be transformed into a time series without a unit root through:

A)

calculating moving average of the residuals.

B)

first differencing.

C)

mean reversion.



First differencing a series that has a unit root creates a time series that does not have a unit root.

作者: 土豆妮    时间: 2010-4-8 16:09

Suppose that the following time-series model is found to have a unit root: 

Salest = b0 + b1 Sales t-1+ εt

What is the specification of the model if first differences are used?

A)
 Salest = b0 + b1 Sales t-1 + b2 Sales t-2 + εt. 
B)
 Salest = b1 Sales t-1+ εt. 
C)
 (Salest - Salest-1)= b0 + b1 (Sales t-1 - Sales t-2) + εt.

作者: 土豆妮    时间: 2010-4-8 16:09

Suppose that the following time-series model is found to have a unit root: 

Salest = b0 + b1 Sales t-1+ εt

What is the specification of the model if first differences are used?

A)
 Salest = b0 + b1 Sales t-1 + b2 Sales t-2 + εt. 
B)
 Salest = b1 Sales t-1+ εt. 
C)
 (Salest - Salest-1)= b0 + b1 (Sales t-1 - Sales t-2) + εt.


Estimation with first differences requires calculating the change in the variable from period to period.

作者: luqian55    时间: 2010-5-30 17:10

thanks
作者: annyyu    时间: 2010-11-30 05:25

re



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