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Caroline123456 · 2024年04月05日

（0.991-1）/0.003=-3 ,不是应该reject 原假设，那就不是random walk啊

  1. CFA II
  2. Quantitative

NO.PZ2023040502000038

问题如下：

Eduardo DeMolay, a research analyst at Mumbai Securities, is studying the time series behavior of price-to-earnings ratios (P/Es) computed with trailing 12-month earnings (Etrailing).


DeMolay states: “This regression is a special case of a first-order autoregressive (AR(1)) model in which the value for b0 is close to zero and the value of b1 is close to 1. These values suggest that the time series is a random walk.”

DeMolay's statement that the coefficients depicted in Exhibit 1 are consistent with a random walk is most likely:

选项：

A.

incorrect because b1 should be close to 0.

B.

incorrect because b0 should be close to 1.

C.

correct.

解释：

When modeled using a AR(1) model, as in the formula given in Exhibit 1, random walks will have an estimated intercept coefficient near zero and an estimated slope coefficient on the first lag near 1. Therefore, his statement is correct.

（0.991-1）/0.003=-3 ,不是应该reject 原假设，那就不是random walk啊

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1 个答案

品职助教_七七 · 2024年04月05日

嗨，从没放弃的小努力你好：


1）AR模型不能用t test去检验b1是否为1。如果要检验random walk/unit root，需要使用的是DF test和检验g是否为0。

2）本题不涉及也不需要进行假设检验，题干中已经明确给出“the value of b1 is close to 1”，由此可直接得出有random walk的结论。

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NO.PZ2023040502000038 问题如下 Ear Molay, a researanalyst MumbaiSecurities, is stuing the time series behavior of price-to-earnings ratios(P/Es) computewith trailing 12-month earnings (Etrailing).Molstates: “This regression is a specicase of a first-orrautoregressive (AR(1)) mol in whithe value for is close tozero anthe value of is close to 1. These values suggest thatthe time series is a ranm walk.”Molay's statement thatthe coefficients pictein Exhibit 1 are consistent with a ranm walk ismost likely: A.incorrebecause shoulclose to 0. B.incorrebecause shoulclose to 1. C.correct. When moleusing a AR(1) mol, in the formulagiven in Exhibit 1, ranm walks will have estimateintercept coefficientnezero anestimateslope coefficient on the first lne1. Therefore,his statement is correct. 该表述是否有误？

2024-05-08 23:49 1 · 回答

NO.PZ2023040502000038 问题如下 Ear Molay, a researanalyst MumbaiSecurities, is stuing the time series behavior of price-to-earnings ratios(P/Es) computewith trailing 12-month earnings (Etrailing).Molstates: “This regression is a specicase of a first-orrautoregressive (AR(1)) mol in whithe value for is close tozero anthe value of is close to 1. These values suggest thatthe time series is a ranm walk.”Molay's statement thatthe coefficients pictein Exhibit 1 are consistent with a ranm walk ismost likely: A.incorrebecause shoulclose to 0. B.incorrebecause shoulclose to 1. C.correct. When moleusing a AR(1) mol, in the formulagiven in Exhibit 1, ranm walks will have estimateintercept coefficientnezero anestimateslope coefficient on the first lne1. Therefore,his statement is correct. 老师，您好！随机游走现象存在时，xt-xt-1 =b0+g xt-1+εt，只要公式中的g = b1-1 = 0，即b1等于1即可吧，对于截距项b0有要求等于0吗？谢谢！

2023-08-03 22:41 1 · 回答