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chenq · 2025年04月10日

b和c不是同一个意思么

NO.PZ2024082801000008

问题如下:

Question Which of the following is most consistent with a correctly specified autoregressive model?

选项:

A.A.Residual values are constant and finite B.B.Residual autocorrelations differ significantly from zero C.C.Autocorrelations of the error term are not significantly different from zero

解释:

  • A is Incorrect because the residual values are the differences between the time series and the trend, and they do not need to be constant for the model to be correctly specified.

  • B is Incorrect because we estimate the error autocorrelation using the sample autocorrelations of the residuals (residual autocorrelations) and their sample variance. If significance tests show that the residual autocorrelations differ significantly from 0, the model is not correctly specified.

  • C is Correct because we can determine whether we are using the correct time-series model by testing whether the autocorrelations of the error term (error autocorrelations) differ significantly from 0. If they do, the model is not specified correctly. Given that, in our case, the autocorrelations of the error term are not significantly different from zero, this does not suggest misspecification.



1 个答案

品职助教_七七 · 2025年04月10日

​B选项是显著不为0。C选项是不显著不为0,也就是等于0。这两者是相反的。