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sentimentalbus · 2020年10月13日

问一道题：NO.PZ201709270100000403

  1. CFA II
  2. Quantitative

* 问题详情，请 查看题干

问题如下：

3. Based on the regression output in Exhibit 1, there is evidence of positive serial correlation in the errors in:

选项：

A.

the linear trend model but not the log-linear trend model.

B.

both the linear trend model and the log-linear trend model.

C.

neither the linear trend model nor the log-linear trend model.

解释：

B is correct. The Durbin–Watson statistic for the linear trend model is 0.10 and, for the log-linear trend model, 0.08. Both of these values are below the critical value of 1.75. Therefore, we can reject the hypothesis of no positive serial correlation in the regression errors in both the linear trend model and the log-linear trend model.

想问一下，老师视频里不是说过，时间序列模型得用t检验嘛，应该看AR(1)那一栏呀。为什么这道题目可以用到DW检验？那不是多元回归模型才使用的嘛？

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1 个答案

星星_品职助教 · 2020年10月13日

同学你好，

时间序列我们讲了两类模型，linear trend/log-linear是一类，这一类模型的实质就是多元回归模型，只不过自变量的是时间t。对于多元回归模型而言，serial correlation要用DW检验。

但这种模型有很多的缺陷，所以我们引入了AR模型，对应的检验方式等和多元回归就不同了。例如serial correlation要用t检验。

以上内容课上都讲过，注意复习。

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