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dejiazheng · 2024年04月03日

所以是增加T+1的数据来解决单位根的现象么?

NO.PZ2023040502000039

问题如下:

Kamini replies, “I’m convinced the P/E series based on trailing earnings truly is a random walk.”If Kamini is correct regarding the trailing P/E time series, the best forecast of next period's trailing P/E is most likely to be the:

选项:

A.

current period's trailing P/E

B.

forecast derived from applying the AR(1) model depicted in Exhibit 1 to the data

C.

average P/E of the time series

解释:

If a time series is a random walk, the best forecast of xt that can be made in period t – 1 is xt-1. So, the best forecast of the next period's trailing P/E is the current period's trailing P/E

看到选项没能联想到对应答案

1 个答案
已采纳答案

品职助教_七七 · 2024年04月03日

嗨,从没放弃的小努力你好:


本题与解决单位根无关。

本题考察random walk的方程为Xt=Xt-1 + ε。由于ε是纯随机项,所以对于Xt的预测就是之前一期自己的数据Xt-1.

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

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