NO.PZ2023040502000021
问题如下：
The chief investment officer (CIO) asks you to analyze
model A. He gives you the test results, shown in Exhibit 2.
Identify the type of error and its impacts on
regression Model A indicated by the data in Exhibit 2.
选项：
A.Serial correlation, invalid coefficient estimates, and
deflated standard errors
Heteroskedasticity, valid coefficient estimates, and
deflated standard errors
Serial correlation, valid coefficient estimates, and
inflated standard errors.
解释：
A is correct. The Breusch–Godfrey (BG) test is for
serial correlation, and for Model A, the BG test statistic exceeds the critical
value. In the presence of serial correlation, if the independent variable is a
lagged value of the dependent variable, then regression coefficient estimates
are invalid and coefficients’ standard errors are deflated, so t-statistics are
inflated.
助教你好，这题我答对了，也听了何老师的讲解。
何老师说如果exhibit 2中最后一栏(independent variable is lagged value of dependent variable)写着No，那得出的结论是serial correlation和valid coefficient estimates；我想确认一下，standard error是deflated standard error吗？谢谢。
