标题: Questions from CFA EOC Q Volume 1 [打印本页] 作者: ftwcfa 时间: 2013-4-2 11:16 标题: Questions from CFA EOC Q Volume 1
Page 374 #14: For F-test, text says that null is that “all three population slope coefficients equal 0–that the three variables jointly are statistically not related to the returns.” Schweser describes F-test null as a test of whether “at least one of the independent variables explains a significant portion of the variation.” Isn’t there a discrepancy in the definition: “jointly related” vs. “at least one”?
Page 389 #20: R^2 = 0.36, and answer says that this implies that squrt(0.36) = 0.6 = correlation. However, we learn that this is only the case with 1 independent variable. In this question, there are four independent variables, so I’m thinking that the relationship should not hold?
Page 464 #13 & #14: Answers to both say that after adding a lagged dependent variable to correct for serial correlation, “if the residuals from the AR(2) model are serially uncorrelated we should then test for seasonality and ARCH.” If there is no serial correlation, how can there be seasonality? I thought seasonality is a type of serial correlation.作者: jcfa2011 时间: 2013-4-2 11:17
i had always thought of seasonality as autocorrelation of the residuals of every 4 or 12 periods, since you test for it by testing the significance of the residuals at those periods.
you’re saying that while autocorrelation is more of a pattern in residuals (i.e. positive correlation from period to period), seasonality is more of a pattern in the dependent variable (i.e. every 12th month)?
