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benniewang · 2019年11月08日

问一道题：NO.PZ201709270100000406

  1. CFA II
  2. Quantitative

* 问题详情，请 查看题干

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  [#PZMATH1346#], where T represents the number of observations used in the regression. Therefore, the standard error for each of the autocorrelations is [#PZMATH1347#] = 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.

公式在哪里？公式在哪里？

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1 个答案

星星_品职助教 · 2019年11月08日

这里哈



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