Q1. Given an AR(1) process represented by xt+1 = b0 + b1×xt + et, the process would not be a random walk if: A) the long run mean is b0 + b1. B) b1 = 1. C) E(et)=0.
Q2. 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 residuals of the forecasting model are autocorrelated. B) The forecast for next period is 2.2. C) The process is not covariance stationary.
Q3. 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.
Q4. A time series x that is a random walk with a drift is best described as: A) xt = b0 + b1 xt − 1. B) xt = xt − 1 + εt. C) xt = b0 + b1xt − 1 + εt.
| 
发表于 2009-1-10 16:48
| 
