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NO.PZ201709270100000509

问题如下：

9.Based on Exhibit 5, which single time-series model would most likely be appropriate for Busse to use in predicting the future stock price of Company #3?

选项：

Log-linear trend model

First-differenced AR(2) model

First-differenced log AR(1) model

解释：

C is correct. As a result of the exponential trend in the time series of stock prices for Company #3, Busse would want to take the natural log of the series and then first-difference it. Because the time series also has serial correlation in the residuals from the trend model, Busse should use a more complex model, such as an autoregressive (AR) model.

能不能详细解答下这题是在考什么？为什么最后要用LOG ar

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1 个答案

星星_品职助教 · 2023年11月06日

同学你好，

本题用排除法做。表格中提示Company 3有exponential trend，所以不能用普通线性模型，需要用log模型来体现这个趋势。排除B选项。

表格中提示该trend model有serial correlation，说明数据彼此之间有关联，所以不能用Log-linear trend model，只能使用能体现数据之间关联性的AR模型，排除A选项。

First-differenced在本题中没有特别的指向，但做了并不会导致模型错误。综上，排除后选择C选项。

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NO.PZ201709270100000509问题如下9.Baseon Exhibit 5, whisingle time-series mol woulmost likely appropriate for Busse to use in precting the future stopriof Company #3? A.Log-linetrenmolB.First-fferenceAR(2) molC.First-fferencelog AR(1) molC is correct. a result of the exponentitrenin the time series of stoprices for Company #3, Busse woulwant to take the naturlog of the series anthen first-fferenit. Because the time series also hsericorrelation in the resials from the trenmol, Busse shouluse a more complex mol, suautoregressive (AR) mol. 一阶差分跟一阶自回归分别用来修正什么问题

2023-10-02 18:13 1 · 回答

NO.PZ201709270100000509 1、First-fferencelog AR(2) mol是不是更加准确？ 2、如果company 3的AR是Yes，那么怎么做？

2022-02-21 23:58 1 · 回答

NO.PZ201709270100000509 老师好，在之前学的普通的回归分析中，自相关就是残差项自己和自己有一定的关系；条件异方差是残差的取值随着X的波动而波动。当来到AR模型这块的时候，我发现其实不论是自相关还是条件异方差，都是残差和自己有关系，然后我就不知道怎么区分了。是不是AR模型中的条件异方差是当前的残差和前一个残差的关系，而AR模型中的异方差就不一定了，有可能是当前的残差和前一个残差的关系，也有可能是当前的残差和前几个残差的关系。请问老师我这么理解对吗？谢谢

2021-05-19 20:19 1 · 回答

First-fferenceAR(2) mol First-fferencelog AR(1) mol C is correct. a result of the exponentitrenin the time series of stoprices for Company #3, Busse woulwant to take the naturlog of the series anthen first-fferenit. Because the time series also hsericorrelation in the resials from the trenmol, Busse shouluse a more complex mol, suautoregressive (AR) mol. 想问一下，课件里哪里讲到如果时间序列有sericorrelation就用AR解决啊？

2020-12-09 17:34 1 · 回答

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