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fifi · 2023年02月23日

ADF的原假设不是只需要考虑γ是否=0就可以了吗

  1. FRM I
  2. Quantitative

NO.PZ2020011101000027

问题如下：

ADF tests are conducted on the log of the ten-year US government bond interest rate using data from 1988 until the end of 2017. The results of the ADF with different configurations of the deterministic terms are reported in the table below. The final three columns report the number of lags included in the test as selected using the AIC and the 5% and 1% critical values that are appropriate for the sample size and included deterministic terms. Do interest rates contain a unit root?


选项：

解释：

The first step is to select the appropriate model to use. For these, the statistical significance of the parameters for the constant and trend must be taken into account.

For the trend model, both of these have t-stats with absolute values >4, well within the bounds of statistical significance at even the 99% level. Accordingly, the proper model to study is the last one. For this model, the t-stat on gamma is to the left of the 1% CV—therefore, the null hypothesis of having a unit root is rejected at the 99% confidence level. Note that if the proper model were either the constant or no-trend then the null hypothesis would not be rejected.

请问为什么还要考虑另外两个自变量σ

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1 个答案

pzqa27 · 2023年02月23日

嗨，爱思考的PZer你好：


这个题是只测试了γ没错啊

解析这里说的是在建模的时候需要把δ考虑进来

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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