Question #90
Reading: Reading 2 Time-Series Analysis
PDF File: Reading 2 Time-Series Analysis.pdf
Page: 43
Status: Unattempted
Question
The regression results from fitting an AR(1) to a monthly time series are presented below. What is the mean-reverting level for the model? Model: ΔExpt = b0 + b1ΔExpt–1 + εt Coefficients Standard Error t-Statistic p-value Intercept 1.3304 0.0089 112.2849 < 0.0001 Lag-1 0.1817 0.0061 30.0125 < 0.0001
Answer Choices:
A. 0.6151
B. 7.3220
C. 1.6258
Explanation
The mean-reverting level is b0 / (1 − b1) = 1.3304 / (1 − 0.1817) = 1.6258.