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quantitative methods

Module 9.5 LOS 9.m, 9.n: Testing an AR model for ARCH, nonstationarity and cointegration

April 26, 2019 by CFA Study Guide
CFA Quantitative Methods

ARCH is similar to autocorrelation, in fact it could be described as autocorrelation of the residuals of an AR model. …

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Module 9.1 LOS 9.a: Forecasting with an AR model

April 26, 2019 by CFA Study Guide
CFA Quantitative Methods

The simplest form of a linear trend is: yt = b0 + b1(t) + εt where: yt = the value of the time …

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Module 9.2 LOS 9.e: Testing AR models for improper specifications using t-tests

April 26, 2019 by CFA Study Guide
CFA Quantitative Methods

We cannot use DW tests to test for autocorrelation (serial correlation in an AR model). To identify autocorrelation we use …

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Module 9.2 LOS 9.f: Mean Reversion in Time Series

April 26, 2019 by CFA Study Guide
CFA Quantitative Methods

Some time series can exhibit a tendency to move towards its mean. The mean reverting level can be expressed as: …

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Module 7.3 LOS 7.f: Regression coefficient confidence interval

April 26, 2019 by CFA Study Guide
CFA Quantitative Methods

Confidence intervals for regression coefficients can be used for hypothesis testing. Instead of calculating a test statistic and a critical …

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Module 8.2 LOS 8.c/8.d: Hypothesis testing of regression coefficients with t-statistic and p-statistic

April 15, 2019 by CFA Study Guide
CFA Quantitative Methods

Coefficient values in multiple regressions are not informative on their own. To determine the significance of slope coefficients in multiple …

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Module 8.6 LOS 8.f: Assumptions of a multiple or simple regression model

April 15, 2019 by CFA Study Guide
CFA Quantitative Methods

Multiple regression models operate under the following assumptions: A linear relationship exists between dependent and independent variables The independent variables …

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Module 8.6 -8.9 Quantitative Methods – Common Issues with Regression Testing

June 20, 2018 by CFA Study Guide
CFA Quantitative Methods

Regression Model Assumptions Linear Regression Models operate under the following assumptions: A linear relationship exists between dependent and independent variables …

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CFA Level II: Quantitative Methods – ANOVA Part II, Significance Testing

June 19, 2018 by CFA Study Guide
CFA Quantitative Methods

The next concept we will look at is significance testing. Significance testing is a form of hypothesis testing focused on …

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