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Basic Question 6 of 7
The Dickey-Fuller test is primarily used for testing the presence of:
A. Autocorrelation in time series data.
B. Heteroscedasticity in residuals.
C. Unit root in a time series.
D. Seasonality in a time series.
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I am happy to say that I passed! Your study notes certainly helped prepare me for what was the most difficult exam I had ever taken.
Andrea Schildbach
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.