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灰飞翔的猫 · 2025年04月14日

解析

  1. CFA II
  2. Quantitative

NO.PZ2018101001000054

问题如下：

Allen wants to predict the sales volume of his shop in December 20X8, so he uses sales volume of January 20X7 to November 20X8 as samples to make a linear trend model and gets the following result: Y ^ t =264.75+2.58t. And it also shows that the Durbin-Watson statistic of this model is 1.0384.

Given the critical values at the 0.05 significance level for the Durbin-Watson test are Dl=1.26 and Du=1.44. Which of the followings is most likely correct?

选项：

A.

There exists a negative serial correlation in the errors.

B.

There exists a positive serial correlation in the errors.

C.

There exists no serial correlation in the errors.

解释：

B is correct.

考点: Linear trend model & log-linear trend model.

解析: 本题考的是对该线性趋势模型所做的DW检验 。 这道题已经给出了DW统计量和两个临界值点 ， 已知DW统计量=1.0384是小于Dl=1.26的 ， 就可以得出这个序列相关是正序列相关的结论 。 所以B选项正确 。

如果：

0<|DW statistic|

Du<|DW statistic|<4-Du或

4-Dl<|DW statistic|<4

则拒绝原假设H0: no autocorrelation（有serial correlation）。

但是correlation是positive还是nagative是怎么判别的？

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1 个答案

品职助教_七七 · 2025年04月15日

嗨，爱思考的PZer你好：


DW test的具体规则和Positive/Negative判断方式如下。这些DW test到底应该怎么做的细节现在已经不考了，不需要去掌握。

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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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