[CFA入门] 请教2012 L2 sample version 1 第十题 version, reported, 题, 2012

gagarin61412

10. Assuming a 5%level of significance, the Dickey-Fuller results reported in Exhibit 2 show that the: A. Test for a unit root is inconclusive for the dependent variable. B. Dependent variable exhibits a unit root but the independent variables do not. C. Independent variable exhibits a unit root but the dependent variables do not.

为什么Dependent variable exhibits a unit root ？1.591>0.1123  也应该拒绝啊

gagarin61412

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2012-5-25 05:04

必胜2012

I am confused too. Waiting for wisdom to answer it!
the P-value for t is 0.1123, which means the null could be refused at higher level, not necessarily 5% signigicance level. so the dependent variable should not be unit root?

maxim0207

我能问一下楼主sample exam在哪里可以下载到么。。

gagarin61412

回复 4# maxim0207


    http://bbs.cfaspace.com/thread-434897-1-1.html

wyhatom

DF没有拒绝，不就是有random walk么？