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Tan · 2020年08月27日

问一道题:NO.PZ201709270100000404

* 问题详情,请 查看题干

问题如下:

4. Martinez’s Conclusion 1 is:

选项:

A.

correct.

B.

incorrect because the mean and variance of WTI oil prices are not constant over time.

C.

incorrect because the Durbin–Watson statistic of the AR(2) model is greater than 1.75.

解释:

B is correct. There are three requirements for a time series to be covariance stationary. First, the expected value of the time series must be constant and finite in all periods. Second, the variance of the time series must be constant and finite in all periods. Third, the covariance of the time series with itself for a fixed number of periods in the past or future must be constant and finite in all periods. Martinez concludes that the mean and variance of the time series of WTI oil prices are not constant over time. Therefore, the time series is not covariance stationary.

这题从Exhibit 2看出是有AR现象,是不是有没有AR现象和covariance-stationary 3个条件是否constant & finite没有关系?

但如果有ARCH现象和单位根,那么则不是 covariance-stationary。还是只有单位根会违背 covariance-stationary ?

这里学的有点混乱,谢谢

2 个答案

星星_品职助教 · 2020年08月31日

@Tan

没有违反ARCH这种说法,从定义上来看,covariance stationary意味着方差恒定,这个时候就不存在条件异方差现象了。

但这个不需要去考虑,covariance stationary和条件异方差是不同的考点,不会混在一起考察的。

星星_品职助教 · 2020年08月28日

同学你好,

1. Exhibit 2中的现象为autocorrelation,autocorrelation在AR模型中是通过t检验来检测的,和covariance stationary是两个独立的考点,没有直 的联系。

2. ARCH检验的是时间序列中是否存在conditional heteroskedasticity。

3. 可以简单理解为有单位根就是违反covariance stationary

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NO.PZ201709270100000404问题如下 4. Martinez’s Conclusion 1 is: correct. incorrebecause the meanvarianof WTI oil prices are not constant over time. C.incorrebecause the rbin–Watson statistic of the AR(2) mol is greater th1.75. B is correct. There are three requirements for a time series to covarianstationary. First, the expectevalue of the time series must constant anfinite in all perio. Secon the varianof the time series must constant anfinite in all perio. Thir the covarianof the time series with itself for a fixenumber of perio in the past or future must constant anfinite in all perio. Martinez conclus ththe meanvarianof the time series of WTI oil prices are not constant over time. Therefore, the time series is not covarianstationary. 麻烦一下C,不太懂为啥不选它

2023-10-05 12:52 1 · 回答

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2022-07-10 19:05 1 · 回答

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2019-12-20 03:44 1 · 回答

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2019-11-08 02:49 1 · 回答