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:
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A
A first lag of the time series (xt−1).
B
B first lag of the time series minus one (xt−1−1).
C
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C first lag of the first difference of the time series (xt−1−xt−2).
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##### 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