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Avalon · 2025年05月19日

麻烦助教老师看下这题

* 问题详情,请 查看题干

NO.PZ201709270100002201

问题如下:

Using the information in Exhibit 1, determine whether the model is correctly specified.

解释:

In order to determine whether this model is correctly specified, we need to test for serial correlation among the residuals. We want to test whether we can reject the null hypothesis that the value of each autocorrelation is 0 against the alternative hypothesis that each is not equal to 0. At the 0.05 significance level, with 68 observations and three parameters, this model has 65 degrees of freedom. The critical value of the t-statistic needed to reject the null hypothesis is thus about 2.0. The absolute value of the t-statistic for each autocorrelation is below 0.60 (less than 2.0), so we cannot reject the null hypothesis that each autocorrelation is not significantly different from 0. We have determined that the model is correctly specified.

The critical value of the t-statistic needed to reject the null hypothesis is thus about 2.0. The absolute value of the t-statistic for each autocorrelation is below 0.60,这里的2和0.6分别怎么算出来的呢

1 个答案

品职助教_七七 · 2025年05月20日

嗨,从没放弃的小努力你好:


1)所有的critical value都是查表求得的。由于本题查表的自由度为68,教材提供的t表上只有70,所以近似查出1.994(即“about 2.0”)。

2)“The absolute value of the t-statistic for each autocorrelation is below 0.60”指的是这一列的值的绝对值都小于0.6。用0.6是因为绝对值最大的那个为0.5771。

写成绝对值都below 0.5771也是可以的。

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