NO.PZ2023040502000038
问题如下：
Eduardo DeMolay, a research analyst at Mumbai
Securities, is studying the time series behavior of price-to-earnings ratios
(P/Es) computed with trailing 12-month earnings (Etrailing).
DeMolay states: “This regression is a special case of a first-order
autoregressive (AR(1)) model in which the value for b0 is close to
zero and the value of b1 is close to 1. These values suggest that
the time series is a random walk.”
DeMolay's statement that
the coefficients depicted in Exhibit 1 are consistent with a random walk is
most likely:
选项：
A.incorrect because b1 should be close to 0.
incorrect because b0 should be close to 1.
correct.
解释：
When modeled using a AR(1) model, as in the formula
given in Exhibit 1, random walks will have an estimated intercept coefficient
near zero and an estimated slope coefficient on the first lag near 1. Therefore,
his statement is correct.
老师，您好！
随机游走现象存在时，xt-xt-1 =b0+g xt-1+εt，只要公式中的g = b1-1 = 0，即b1等于1即可吧，对于截距项b0有要求等于0吗？谢谢！
