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梦梦0708 · 2020年01月08日

问一道题:NO.PZ2015120204000028

问题如下:

DeMolay cautions Kamini: “Remember that when we analyze two time series in regression analysis, we need to ensure that
(1) neither the dependent variable series nor the independent variable series has a unit root, or (2) that both series have a unit root and are not cointegrated.
Unless Condition 1 or Condition 2 holds, we cannot rely on the validity of the estimated regression coefficients.

DeMolay's caution given in Condition 1 is best described as:


选项:

A.

incorrect because only the dependent variable series needs to be tested for the absence of a unit root.

B.

incorrect because only the independent variable series needs to be tested for the absence of a unit root.

C.

correct

解释:

When working with two time series in a regression analysis, both of the series must be tested for the presence of a unit root. If neither series has a unit root, you can safely use linear regression to test the relationship between the two time series.


condition1中,为什么不是只要满足x没有uint root就可以,为什么y也要满足呢?

1 个答案

星星_品职助教 · 2020年01月08日

同学你好,

这是因为在做多元回归的时候,Y和X都是时间序列数据。所以如果要做回归,这两组时间序列数据必须“对称”,要么就都没有unit root,要么就都有且协整。