CFA Level 2
Quantitative Methods

Understanding Trend Model Components in Time-Series Analysis

Hard Time-series Analysis Trend Models

A financial analyst is working with a time series of quarterly sales data for a retail company. The data shows a consistent upward trend over the past five years, with some seasonal fluctuations. To forecast future sales, the analyst decides to implement a trend model. The model will help estimate the long-term direction of the sales data while filtering out seasonal effects.

The analyst formulates the trend line using the ordinary least squares (OLS) regression approach, assuming a linear relationship. The trend equation is expressed as:

$$ Y_t = eta_0 + eta_1 t + eta_2 T_t + ext{error} $$

where $Y_t$ is the sales figure at time $t$, $t$ is the time variable, $T_t$ represents any time-based dummy variables accounting for seasonal effects, and $eta_0$, $eta_1$, $eta_2$ are coefficients to be estimated.

Given the above information, which statement about the trend model is true?

Hint

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