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标题: Reading 13: Time-Series Analysis-LOS n 习题精选 [打印本页]

作者: 土豆妮 时间: 2011-3-3 15:09 标题: [2011]Session 3-Reading 13: Time-Series Analysis-LOS n 习题精选

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

LOS n: Explain how time-series variables should be analyzed for nonstationarity and/or cointegration before use in a linear regression.

One choice a researcher can use to test for nonstationarity is to use a:

A)
Dickey-Fuller test, which uses a modified t-statistic.

B)
Breusch-Pagan test, which uses a modified t-statistic.

C)
Dickey-Fuller test, which uses a modified χ² statistic.

The Dickey-Fuller test estimates the equation (x_t – x_t-1) = b₀ + (b₁ - 1) * x_t-1 + e_t 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.

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