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Mercury. · 2024年07月11日

standard error for autocorrelation的公式要记吗 讲义哪里提到的公式

  1. CFA II
  2. Quantitative

* 问题详情，请 查看题干

NO.PZ201709270100000406

问题如下：

6. Based on the data for the AR(1) model in Exhibits 1 and 2, Martinez can conclude that the:

选项：

A.

residuals are not serially correlated.

B.

autocorrelations do not differ significantly from zero.

C.

standard error for each of the autocorrelations is 0.0745.

解释：

C is correct. The standard error of the autocorrelations is calculated as 1T\frac{1}{\sqrt{T}}, where T represents the number of observations used in the regression. Therefore, the standard error for each of the autocorrelations is 1180\frac{1}{\sqrt{180}} = 0.0745. Martinez can conclude that the residuals are serially correlated and are significantly different from zero because two of the four autocorrelations in Exhibit 2 have a t-statistic in absolute value that is greater than the critical value of 1.97.

Choices A and B are incorrect because two of the four autocorrelations have a t-statistic in absolute value that is greater than the critical value of the t-statistic of 1.97.

RT

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品职助教_七七 · 2024年07月12日

嗨，爱思考的PZer你好：


需要记忆，如下：

标准误的公式建议直接记忆为 1/√observations ，其中observations的值通常会在题干的表格中给出。

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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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