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慧慧 · 2020年02月23日

问一道题:NO.PZ201709270100000508 第8小题 [ CFA II ]

* 问题详情,请 查看题干

问题如下:

8. Based on Exhibit 5, for which company would the regression of stock prices on oil prices be expected to yield valid coefficients that could be used to estimate the long-term relationship between stock price and oil price?

选项:

A.

Company #1

B.

Company #2

C.

Company #3

解释:

B is correct. When two time series have a unit root but are co-integrated, the error term in the linear regression of one time series on the other will be covariance stationary. Exhibit 5 shows that the series of stock prices of Company #2 and the oil prices both contain a unit root, and the two time series are co-integrated. As a result, the regression coefficients and standard errors are consistent and can be used for hypothesis tests. Although the cointegrated regression estimates the long-term relation between the two series, it may not be the best model of the short-term relationship.

题目问的是什么意思?没看懂
1 个答案

星星_品职助教 · 2020年02月24日

同学你好,

这道题的意思就是对于这三个公司而言,哪个公司可以建立回归方程。由于公司1和3都不协整,所以做不了回归,只有2能做。

这部分题都是课后题里的内容,如果课后题问题很多的话,可以先听一下课后题班,case题都有讲解。