Question #83
Reading: Reading 2 Time-Series Analysis
PDF File: Reading 2 Time-Series Analysis.pdf
Page: 41
Status: Unattempted
Correct Answer: B
Part of Context Group: Q83-87
First in Group
Shared Context
Question
What is most likely represented by the intercept of the regression?
Answer Choices:
A. The drift of a random walk
B. The return on a particular trading day
C. The intercept is not a driver of returns, only the independent variables
Explanation
The omitted variable is represented by the intercept. So, if we have four variables to
represent Monday through Thursday, the intercept would represent returns on Friday.