Question #48

Reading: Reading 2 Time-Series Analysis

PDF File: Reading 2 Time-Series Analysis.pdf

Page: 22

Status: Unattempted

Correct Answer: A

Part of Context Group: Q48-49 First in Group
Shared Context
- Johnson's model was most likely designed to correct for: A) heteroskedasticity of model residuals. B) nonstationarity in time series data. C) cointegration in the time series.
Question
To test for covariance-stationarity in the data, Johnson would most likely use a:
Answer Choices:
A. Durbin-Watson test
B. t-test
C. Dickey-Fuller test
Explanation
The Dickey-Fuller test for unit roots could be used to test whether the data is covariance non-stationarity. The Durbin-Watson test is used for detecting serial correlation in the residuals of trend models but cannot be used in AR models. A t-test is used to test for residual autocorrelation in AR models.
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