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Basic Question 3 of 5
If the Engle-Granger test rejects the null hypothesis of no cointegration, what does it imply?
A. The variables are perfectly correlated.
B. The variables are not correlated.
C. The variables are not cointegrated.
D. The variables are stationary.
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I am using your study notes and I know of at least 5 other friends of mine who used it and passed the exam last Dec. Keep up your great work!
Barnes
Learning Outcome Statements
explain how time-series variables should be analyzed for nonstationarity and/or cointegration before use in a linear regression;
determine an appropriate time-series model to analyze a given investment problem and justify that choice.
CFA® 2025 Level II Curriculum, Volume 1, Module 5.