##### 16 An analyst is investigating whether a time series \(x_t\) has a unit root. To implement a Dickey–Fuller test, the analyst must first run a simple linear regression where the dependent variable is the first difference of the time series (\(x_t - x_{t-1}\)) and the independent variable is the: | Chartered Financial Analyst Level 2 Quiz - LeetQuiz
Chartered Financial Analyst Level 2
Get started today
Ultimate access to all questions.
Comments
Loading comments...
16 An analyst is investigating whether a time series xt has a unit root. To implement a Dickey–Fuller test, the analyst must first run a simple linear regression where the dependent variable is the first difference of the time series (xt−xt−1) and the independent variable is the:
Exam-Like
A
A first lag of the time series (xt−1).
B
B first lag of the time series minus one (xt−1−1).
C
C first lag of the first difference of the time series (xt−1−xt−2).