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Basic Question 0 of 5
The Dickey-Fuller test shows that in order to test if a time series xt is a random walk with drift, we should conduct
A. a t-test of null hypothesis that b1 - 1 = 0, using conventional critical values for a t-test.
B. a t-test of null hypothesis that b1 - 1 = 0, using a revised set of critical values for a t-test. These revised values are larger than the conventional critical values.
C. a t-test of null hypothesis that b1 - 1 = 0, using a revised set of critical values for a t-test. These revised values are smaller than the conventional critical values.
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Learning Outcome Statements
explain how to test and correct for seasonality in a time-series model and calculate and interpret a forecasted value using an AR model with a seasonal lag;
CFA® 2025 Level II Curriculum, Volume 1, Module 5.