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

作者: 土豆妮 时间: 2011-3-3 15:11 标题: [2011]Session 3-Reading 13: Time-Series Analysis-LOS o 习题精选

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.

作者: 土豆妮 时间: 2011-3-3 15:11

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.

C)
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.

作者: 土豆妮 时间: 2011-3-3 15:11

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.

作者: moxidi 时间: 2011-3-22 00:05

thanks a lot

作者: linkenxing 时间: 2011-4-10 21:23 标题: 又没抢到沙发

支持！又没抢到沙发

lose weight 减肥

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