NO.PZ2018101001000061
问题如下：
After building a AR(1) model which is xt=b0+b1xt-1+εt, Steven does additional analysis by first-differencing the data and runs a new regression which is yt= b0+b1yt-1+εt, where yt= xt- xt-1.Then he gets a result that in the new regression,b0=b1=0. So variable xt:
选项：
A.
is nonstationary.
B.
doesn’t have a unit root.
C.
is stationary.
解释：
A is correct.
考点: Random walk and unit roots.
解析：已知Steven做了一阶差分之后得到yt= b0+b1yt-1+εt中的b0=b1=0，即yt=εt= xt- xt-1，通过移项我们可以得到xt= xt-1+εt，不难发现此时b0=0，b1=1，这是很典型的simple random walk，同时也就意味着xt是不平稳的。A选项正确。
nonstationary不就是等价于no unit root吗？
