NO.PZ2023040502000048
问题如下：
Results of the unit root test for nonstationarity andof a test for the presence of heteroskedasticity are reported in Exhibit 5.
Based on the results reported in Exhibit 5, the AR(1)model is best described as having:
选项：
A.
a unit root
B.
heteroskedasticity in the error term variance
C.
reliable standard errors
解释：
B is correct.Because the unit root test statistic (–18.7402) is smaller than the criticalvalue(–2.89), the AR(1) model does not exhibit a unit root. The test forheteroskedasticity, however, suggests that the error term variances areheteroskedastic. The heteroskedasticity test statistic (2.016733) is greaterthan the critical value (1.96). A more sophisticated approach, such asgeneralized least squares, is needed.
A is incorrect.The significantly negative test statistic strongly suggests the absence of aunit root.
C is incorrect. When a model exhibits ARCH, the standarderrors for the regression parameters will not be correct.
帮忙解释一下B和C。谢谢。
