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JillTian · 2024年03月14日

Serial correlation consequence

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

B.

Heteroskedasticity, valid coefficient estimates, and deflated standard errors

C.

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.

讲义上不是说positive serial correlation not affect the consistency and estimation of regression coefficients嘛,为啥这里选invalid coefficients呀?

1 个答案

品职助教_七七 · 2024年03月15日

嗨,从没放弃的小努力你好:


题干表格中,“Independent variable is lagged value of dependent variable”这一项给的是“Yes”


对于 自变量是因变量的滞后项 的这种情况,系数估计是无效的。和常规的“positive serial correlation”不同。

如果没有这个滞后项的说明,或者这一项为No,则不会影响到系数估计。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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2024-04-01 19:09 1 · 回答

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2023-04-14 19:14 1 · 回答