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Basic Question 5 of 7
How does first differencing impact the autocorrelation of a time series?
A. It increases the autocorrelation.
B. It decreases the autocorrelation.
C. It has no effect on the autocorrelation.
D. It creates a non-linear autocorrelation.
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I used your notes and passed ... highly recommended!
Lauren
Learning Outcome Statements
describe implications of unit roots for time-series analysis, explain when unit roots are likely to occur and how to test for them, and demonstrate how a time series with a unit root can be transformed so it can be analyzed with an AR model;
describe the steps of the unit root test for nonstationarity and explain the relation of the test to autoregressive time-series models;
CFA® 2025 Level II Curriculum, Volume 1, Module 5.