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