问题如下：
Angela Martinez, an energy sector analyst at an investment bank, is concerned about the future level of oil prices and how it might affect portfolio values. She is considering whether to recommend a hedge for the bank portfolio’s exposure to changes in oil prices. Martinez examines West Texas Intermediate (WTI) monthly crude oil price data, expressed in US dollars per barrel, for the 181-month period from August 2000 through August 2015. The end-of-month WTI oil price was $51.16 in July 2015 and $42.86 in August 2015 (Month 181). After reviewing the time-series data, Martinez determines that the mean and variance of the time series of oil prices are not constant over time. She then runs the following four regressions using the WTI time-series data.
Linear trend model: Oil pricet = b0 + b1t+ et
Log-linear trend model: ln Oil pricet = b0 + b1t+ et
AR(1) model: Oil pricet = b0 + b1Oil pricet–1 + et
AR(2) model: Oil pricet = b0 + b1Oil pricet–1 + b2Oil pricet–2 + et
Exhibit 1 presents selected data from all four regressions, and Exhibit 2 presents selected autocorrelation data from the AR(1) models.
In Exhibit 1, at the 5% significance level, the lower critical value for the Durbin–Watson test statistic is 1.75 for both the linear and log-linear regressions.
After reviewing the data and regression results, Martinez draws the following conclusions.
Conclusion 1: The time series for WTI oil prices is covariance stationary.
Conclusion 2: Out-of-sample forecasting using the AR(1) model appears to be more accurate than that of the AR(2) model.
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 , where T represents the number of observations used in the regression. Therefore, the standard error for each of the autocorrelations is = 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.
fracl是什么意思
