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lulu · 2018年04月20日

问一道题:NO.PZ201709270100000404 第4小题 [ CFA II ]

* 问题详情,请 查看题干

问题如下图:

    

选项:

A.

B.

C.

解释:


请问这道题可以用DF test 吗,看表格里AR1 MODEL 里的系数B1

1 个答案

品职辅导员_小明 · 2018年04月20日

这道题没有给足够的条件,因为你不能直接对AR模型用DF-TEST,如果B1=1,就写不出AR模型,这就存在逻辑上的错误,你需要建立一个新的方程进行DF-TEST,不能直接看表格里的BI的系数。

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