NO.PZ201709270100000508
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.
假如company 3: no unit root, no serial correlation ,是否就可以选择了
