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黄路迦 · 2022年12月08日

如下

  1. CFA II
  2. Quantitative

* 问题详情，请 查看题干

NO.PZ201512020300000402

问题如下：

2.Which of the following is Chiesa’s best response to Question 2 regarding serial correlation in the error term? At a 0.05 level of significance, the test for serial correlation indicates that there is:

选项：

A.

no serial correlation in the error term.

B.

positive serial correlation in the error term.

C.

negative serial correlation in the error term.

解释：

B is correct.

The Durbin–Watson test used to test for serial correlation in the error term, and its value reported in Exhibit 1 is 1.65. For no serial correlation, DW is approximately equal to 2. If DW<d1DW , the error terms are positively serially correlated. Because the DW = 1.65 is less than D1=1.827D_1=1.827 for n = 431 (see Exhibit 2), Chiesa should reject the null hypothesis of no serial correlation and conclude that there is evidence of positive serial correlation among the error terms.

DW=1.65，小于表2中的任何数，难道不应该落在接受域中吗？不应该接受H0吗

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1 个答案

星星_品职助教 · 2022年12月08日

同学你好，

DW test的判断标准为 DW statistic＜Dl，则拒绝no autocorrelation的原假设，结论为positive correlated。

DW test的细节和具体怎么做在2023年的考纲中已经不要求了，以上简单了解即可。

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NO.PZ201512020300000402 positive sericorrelation in the error term. negative sericorrelation in the error term. B is correct. The rbin–Watson test useto test for sericorrelation in the error term, anits value reportein Exhibit 1 is 1.65. For no sericorrelation, is approximately equto 2. If <<1<​ , the error terms are positively serially correlate Because the = 1.65 is less th=1.8271=1.827​=1.827 for n = 431 (see Exhibit 2), Chiesa shoulrejethe null hypothesis of no sericorrelation anconclu ththere is evinof positive sericorrelation among the error terms. 证明了n0不成立，那positive是如何得到的?为何不是negative

2021-02-04 14:40 1 · 回答

问下，这里查表，N是代表observation的个数＝431吧？然后用N＝430近似替代吗？

2020-02-17 11:24 1 · 回答

positive sericorrelation in the error term. negative sericorrelation in the error term. B is correct. The rbin–Watson test useto test for sericorrelation in the error term, anits value reportein Exhibit 1 is 1.65. For no sericorrelation, is approximately equto 2. If <<1<​ , the error terms are positively serially correlate Because the = 1.65 is less th=1.8271=1.827​=1.827 for n = 431 (see Exhibit 2), Chiesa shoulrejethe null hypothesis of no sericorrelation anconclu ththere is evinof positive sericorrelation among the error terms. 请问老师这个知识点是哪个reang的呢，谢谢问一道题NO.PZ201512020300000402 第2小题 [ CFA II ]

2020-02-01 17:49 1 · 回答

老师好，请问in the error term是什么意思呢？谢谢

2018-12-22 16:32 1 · 回答