公司3

问题如下：

For which company would the regression of stock prices on oil prices be expected to yield valid coefficients that could be used to estimate the long-term relationship between stock price and oil price?

选项：

A.

Company #1

B.

Company #2

C.

Company #3

解释：

When two time series have a unit root but are co-integrated, the error term in the linear regression of one time series on the other will be covariance stationary. Exhibit shows that the series of stock prices of Company #2 and the oil prices both contain a unit root, and the two time series are co-integrated. As a result, the regression coefficients and standard errors are consistent and can be used for hypothesis tests. Although the cointegrated regression estimates the long-term relation between the two series, it may not be the best model of the short-term relationship.