Time-Series Analysis
Free CFA Level II lesson in Quantitative Methods. 13 min read, ~1,882 words.
AR(1) stationarity condition: absolute value of lag coefficient < 1. Mean-reverting level = b0 / (1 - b1). ADF test null = unit root (non-stationary). Reject only when test statistic is more negative than critical value, opposite of standard t-test intuition. Multi-period forecasts chain forward: forecast(1) feeds into forecast(2), never...
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What this lesson covers
- Content
- Example 1
- Example 2
- Common Mistakes
- Key Takeaways
- Exam Shortcuts
Learning objectives
- time series analysis
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