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Basic Question 0 of 23
When forecasts are obtained by fitting a model and computing minimum mean-square-error forecasts from the model, the differences between the observed and the fitted values are:
II. in-sample forecast errors.
III. out-of sample forecast errors.
I. residuals from the fitted model.
II. in-sample forecast errors.
III. out-of sample forecast errors.
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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
describe the structure of an autoregressive (AR) model of order p and calculate one- and two-period-ahead forecasts given the estimated coefficients;
explain how autocorrelations of the residuals can be used to test whether the autoregressive model fits the time series;
explain mean reversion and calculate a mean-reverting level;
contrast in-sample and out-of-sample forecasts and compare the forecasting accuracy of different time-series models based on the root mean squared error criterion;
CFA® 2025 Level II Curriculum, Volume 1, Module 5.