Reading 13: Time-Series Analysis-LOS o 习题精选

2011, particular, justify, monthly

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

LOS o: Select and justify the choice of a particular time-series model from a group of models.

Alexis Popov, CFA, is analyzing monthly data. Popov has estimated the model x_t = b₀ + b₁ × x_t-1 + b₂ × x_t-2 + e_t. The researcher finds that the residuals have a significant ARCH process. The best solution to this is to:

A)	re-estimate the model with generalized least squares.

B)	re-estimate the model using only an AR(1) specification.

C)	re-estimate the model using a seasonal lag.

If the residuals have an ARCH process, then the correct remedy is generalized least squares which will allow Popov to better interpret the results.

土豆妮

游客

UID: 137525
帖子: 5724
主题: 885
注册时间: 2009-7-1
最后登录: 2011-3-29

2^#

发表于 2011-3-3 15:11 | 只看该作者

Alexis Popov, CFA, has estimated the following specification: x_t = b₀ + b₁ × x_t-1 + e_t. Which of the following would most likely lead Popov to want to change the model’s specification?

A)	Correlation(e_t, e_t-1) is not significantly different from zero.

B)	Correlation(e_t, e_t-2) is significantly different from zero.

b₀ < 0.

If correlation(e_t, e_t-2) is not zero, then the model suffers from 2^nd order serial correlation. Popov may wish to try an AR(2) model. Both of the other conditions are acceptable in an AR(1) model.

TOP

土豆妮

游客

UID: 137525
帖子: 5724
主题: 885
注册时间: 2009-7-1
最后登录: 2011-3-29

3^#

发表于 2011-3-3 15:11 | 只看该作者

Alexis Popov, CFA, wants to estimate how sales have grown from one quarter to the next on average. The most direct way for Popov to estimate this would be:

A)	an AR(1) model.

B)	a linear trend model.

C)	an AR(1) model with a seasonal lag.

If the goal is to simply estimate the dollar change from one period to the next, the most direct way is to estimate x_t = b₀ + b₁ × (Trend) + e_t, where Trend is simply 1, 2, 3, ....T. The model predicts a change by the value b₁ from one period to the next.