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标题: Reading 13: Time-Series Analysis-LOS j 习题精选 [打印本页]
作者: 土豆妮    时间: 2011-3-3 14:59     标题: [2011]Session 3-Reading 13: Time-Series Analysis-LOS j 习题精选

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

LOS j: 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 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)
 first differencing.
C)
 moving average.

 

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: 2011-3-3 15:00

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: 2011-3-3 15:01

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: 2011-3-3 15:01

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

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





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