问题如下：
2. Based on the regression output in Exhibit 1, the first-differenced series used to run Regression 2 is consistent with:
选项：
A.a random walk.
B.covariance stationarity.
C.a random walk with drift.
解释：
B is correct. The critical t-statistic at a 5% confidence level is 1.98. As a result, neither the intercept nor the coefficient on the first lag of the first-differenced exchange rate in Regression 2 differs significantly from zero. Also, the residual autocorrelations do not differ significantly from zero. As a result, Regression 2 can be reduced to yt = εt with a mean-reverting level of b0/(1 – b1) = 0/1 = 0.
Therefore, the variance of yt in each period is Var(εt) = σ2. The fact that the residuals are not autocorrelated is consistent with the covariance of the times series, with itself being constant and finite at different lags. Because the variance and the mean of yt are constant and finite in each period, we can also conclude that yt is covariance stationary.
老师好，题目的逻辑，在First-Differenced AR(1) Model之后，两个系数neither the intercept nor the coefficient on the first lag of the first-differenced exchange rate in Regression 2 differs significantly from zero，然后就说他是协方差平稳的。可是，应该是 coefficient on the first lag of the first-differenced exchange rate in Regression 2 不等于1 才能断定协方差平稳吧？ 感觉那么说不太严谨啊！
