Chartered Financial Analyst Level 2
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16 An analyst is investigating whether a time series 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 () and the independent variable is the:
16 An analyst is investigating whether a time series 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 () and the independent variable is the:
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A
A first lag of the time series ().
B
B first lag of the time series minus one ().
C
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