标题: Reading 13: Time-Series Analysis-LOS l 习题精选 [打印本页]
作者: 土豆妮 时间: 2011-3-3 15:05 标题: [2011]Session 3-Reading 13: Time-Series Analysis-LOS l 习题精选
Session 3: Quantitative Methods for Valuation
Reading 13: Time-Series Analysis
LOS l: Discuss how to test and correct for seasonality in a time-series model, and calculate and interpret a forecasted value using an AR model with a seasonal lag.
Barry Phillips, CFA, is analyzing quarterly data. He has estimated an AR(1) relationship (xt = b0 + b1 × xt-1 + et) and wants to test for seasonality. To do this he would want to see if which of the following statistics is significantly different from zero?
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A) |
Correlation(et, et-1). | |
|
B) |
Correlation(et, et-4). | |
|
C) |
Correlation(et, et-5). | |
Although seasonality can make the other correlations significant, the focus should be on correlation(et, et-4) because the 4th lag is the value that corresponds to the same season as the predicted variable in the analysis of quarterly data.
作者: 土豆妮 时间: 2011-3-3 15:06
Which of the following statements regarding seasonality is least accurate?
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A) |
Not correcting for seasonality when, in fact, seasonality exists in the time series results in a violation of an assumption of linear regression. | |
|
B) |
The presence of seasonality makes it impossible to forecast using a time-series model. | |
|
C) |
A time series that is first differenced can be adjusted for seasonality by incorporating the first-differenced value for the previous year's corresponding period. | |
Forecasting is no different in the case of seasonal component in the time-series model than any other forecasting.
作者: 土豆妮 时间: 2011-3-3 15:07
Which of the following is a seasonally adjusted model?
|
A) |
Salest = b0 + b1 Sales t-1 + b2 Sales t-2 + εt. | |
|
B) |
Salest = b1 Sales t-1+ εt. | |
|
C) |
(Salest - Sales t-1)= b0 + b1 (Sales t-1 - Sales t-2) + b2 (Sales t-4 - Sales t-5) + εt. | |
This model is a seasonal AR with first differencing.
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