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Basic Question 1 of 5
If linear regression is used to model the relationship between two time series, and a test shows that one of the two time series has a unit root, we should:
B. safely use linear regression if the time series are co-integrated.
C. not use linear regression if the time series are not co-integrated.
A. not use linear regression.
B. safely use linear regression if the time series are co-integrated.
C. not use linear regression if the time series are not co-integrated.
User Contributed Comments 1
| User | Comment |
|---|---|
| wtwaf | key words: one of the two good question! |
I passed! I did not get a chance to tell you before the exam - but your site was excellent. I will definitely take it next year for Level II.
Tamara Schultz
Learning Outcome Statements
explain how time-series variables should be analyzed for nonstationarity and/or cointegration before use in a linear regression;
determine an appropriate time-series model to analyze a given investment problem and justify that choice.
CFA® 2025 Level II Curriculum, Volume 1, Module 5.