NO.PZ2023040502000039
问题如下：
Kamini replies, “I’m convinced the P/E series based on
trailing earnings truly is a random walk.”If Kamini is correct regarding the
trailing P/E time series, the best forecast of next period's trailing P/E is
most likely to be the:
选项：
A.current period's trailing P/E
forecast derived from applying the AR(1) model
depicted in Exhibit 1 to the data
average P/E of the time series
解释：
If a time series is a random walk, the best forecast
of xt that can be made in period t – 1 is xt-1. So, the
best forecast of the next period's trailing P/E is the current period's
trailing P/E
基础班讲义166页写了，if a time series appears to have a unit root, one method is to first-difference the time sereis and try to model the first-differenced series as an autoregressive time series. 所以B选项说AR(1)为什么不对？
