Q1. David Wellington, CFA, has estimated the following log-linear trend model: LN(xt) = b0 + b1t + εt. Using six years of quarterly observations, 2001:I to 2006:IV, Wellington gets the following estimated equation: LN(xt) = 1.4 + 0.02t. The first out-of-sample forecast of xt for 2007:I is closest to: A) 6.69. B) 1.88. C) 4.14.
Q2. Modeling the trend in a time series of a variable that grows at a constant rate with continuous compounding is best done with: A) a moving average model. B) a log-linear transformation of the time series. C) simple linear regression.
Q3. In the time series model: yt=b0 + b1 t + εt, t=1,2,…,T, the: A) disturbance terms are autocorrelated. B) disturbance term is mean-reverting. C) change in the dependent variable per time period is b1.
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发表于 2009-1-10 15:44
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