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Basic Question 1 of 6
If we use an AR (1) model to specify a time series (quarterly data), the correct equation that includes a seasonal lag is:
B. xt = b0 + b1 xt-1 + b2 xt-4 + εt.
C. xt = b0 + b1 xt-1 + b2 xt-4.
A. xt = b0 + b1 xt-1 + εt.
B. xt = b0 + b1 xt-1 + b2 xt-4 + εt.
C. xt = b0 + b1 xt-1 + b2 xt-4.
User Contributed Comments 1
| User | Comment |
|---|---|
| akirchner1 | 'Quarterly' is key here which is why t-4 is used. Can't forget the error term though. |
I passed! I did not get a chance to tell you before the exam - but your site was excellent. I will definitely take it next year for Level II.
Tamara Schultz
Learning Outcome Statements
explain autoregressive conditional heteroskedasticity (ARCH) and describe how ARCH models can be applied to predict the variance of a time series;
CFA® 2026 Level II Curriculum, Volume 1, Module 5.