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Basic Question 5 of 11
The choice of a sample period is critical when modeling a financial time series because
II. The regression coefficient estimates of a time-series model can be quite different for those estimated using a shorter or longer sample period.
III. The choice of sample period can affect the decision of using a particular time-series model.
I. The regression coefficient estimates of a time-series model can be quite different for those estimated using an earlier or later sample period.
II. The regression coefficient estimates of a time-series model can be quite different for those estimated using a shorter or longer sample period.
III. The choice of sample period can affect the decision of using a particular time-series model.
User Contributed Comments 1
| User | Comment |
|---|---|
| vi2009 | financial time series .. since historical facts may not help to forecast the future |
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.