Question #3
Reading: Reading 2 Time-Series Analysis
PDF File: Reading 2 Time-Series Analysis.pdf
Page: 1
Status: Unattempted
Question
An AR(1) autoregressive time series model:
Answer Choices:
A. can be used to test for a unit root, which exists if the slope coefficient equals one
B. cannot be used to test for a unit root
C. can be used to test for a unit root, which exists if the slope coefficient is less than one
Explanation
If you estimate the following model xt = b0 + b1 × xt-1 + et and get b1 = 1, then the process
has a unit root and is nonstationary.