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PRMIA Exam 8007 Topic 1 Question 9 Discussion

Actual exam question for PRMIA's 8007 exam
Question #: 9
Topic #: 1
[All 8007 Questions]

You are given the following regressions of the first difference of the log of a commodity price on the lagged price and of the first difference of the log return on the lagged log return. Each regression is based on 100 data points and figures in square brackets denote the estimated standard errors of the coefficient estimates:

Which of the following hypotheses can be accepted based on these regressions at the 5% confidence level (corresponding to a critical value of the Dickey Fuller test statistic of -- 2.89)?

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Suggested Answer: D

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