问题如下:
9.Based on Exhibit 5, which single time-series model would most likely be appropriate for Busse to use in predicting the future stock price of Company #3?
选项:
A. Log-linear trend model
B. First-differenced AR(2) model
C. First-differenced log AR(1) model
解释:
C is correct. As a result of the exponential trend in the time series of stock prices for Company #3, Busse would want to take the natural log of the series and then first-difference it. Because the time series also has serial correlation in the residuals from the trend model, Busse should use a more complex model, such as an autoregressive (AR) model.
想问一下,课件里哪里讲到如果时间序列有serial correlation就用AR解决啊?