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EVA · 2024年05月22日

不明白出题意图

  1. CFA II
  2. Quantitative

* 问题详情，请 查看题干

NO.PZ202208220100000302

问题如下：

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.

有点搞不懂是考哪一个知识点，这道题是什么意思？

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1 个答案

品职助教_七七 · 2024年05月23日

嗨，从没放弃的小努力你好：


1）根据图表中Model A的数据，可以看到BG test的结果为|test statistic|＞|critical value|，说明拒绝BG test的原假设（ρ=0），也就是ρ≠0，存在serial correlation的问题。排除B选项。

2）在存在serial correlation的前提下，此时表格中还说明方程的自变量中有因变量的滞后项。所以此时会影响到系数的估计（invalid coefficient estimates）。排除C选项。

3）此时应为“invalid standard errors”，实际不能确定是否就是deflated，但根据上述两点排除后，已经可以确定应该选择A选项。

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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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