In the CFA Curriculum, reading 13 P.416, Q16, Table P-8, the t-Statistic value of GPM(t-1) is -0.8850, it is very small, cound we drop the variable in the AR model? The same as Q17.
I dont think that is what this question is testing. Look at table P-7 on pg. 415, the 4th lag is signifigant, suggesting seasonality. That is why (t-1)-.8850 is not sig. and a 2nd independent variable (t-4)t-stat= 12.8683 is added For this type of ? i would focus on just identifying Seasonality from the Autocorrelations.
how did u tackle time series??? I read more than half of the chapter and i did not find it easy… any suggestions please?
Post questions on AF so we can answer them…
Time Series is really just a continuation of the Mult Regression chapter. The text reading is boring as s**t , but it is summed in just 2 pages (404-405)
There are some pretty big differences between fitting ARMA models and fitting multiple regression models…
I do not see MA in any of LOS, so therefore not on the syllabus!?