Let say we are doing time series analysis using 60 quarters of returns. (a) What is the number of observation T for AR(1)? (b) What is the number of observation T for AR(1) with annual seasonality? I found that in most CFAI textbook examples and EOC: (a) is 60 (b) is also 60 However in Schweser and one of the EOC: (a) is 59 (b) is 58 In some other textbooks, (a) is 59 (b) is 56
Seems like it should be 59, 56. Maybe someone else has a second opinion.