标题: CFAI Mock AM Quants Q9 [打印本页] 作者: Kingpin804 时间: 2013-4-17 19:12 标题: CFAI Mock AM Quants Q9
This is stupid, but I don’t really understand the CFAI answer.
If you do the first differencing, than
y(t) = x(t) - x(t-1)
and the model becomes
y(t) = b0 + b1 y(t-1) + e
So why isn’t the answer C?
Anyone has 2 seconds to explain quickly ?
Thanks!
J.作者: Flok 时间: 2013-4-17 19:12
No need to answer, I found it!
My bad, I was reading too quickly.
Thanks anyway.
J.作者: kd26gioi 时间: 2013-4-17 19:13
Because that’s how you use Dickey Fuller to check unit root:
The Dickey-Fuller test estimates the equation (xt – xt-1) = b0 + (b1 - 1) * xt-1 + et and tests if H0: (b1 – 1) = 0. Using a modified t-test, if it is found that (b1–1) is not significantly different from zero, then it is concluded that b1 must be equal to 1.0 and the series has a unit root.
here g1 is equivalent to (b1-1)
The equation you mentioned still applies but to use D/F method you have to formulate this equation作者: bapswarrior 时间: 2013-4-17 19:13
I hope they don’t ask too many tricky questions on Time-Series.
