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lxn · 2021年02月05日

问一道题：NO.PZ2018101001000054 [ CFA II ]

  1. CFA II
  2. Quantitative

问题如下：

Allen wants to predict the sales volume of his shop in December 20X8, so he uses sales volume of January 20X7 to November 20X8 as samples to make a linear trend model and gets the following result: Y ^ t  =264.75+2.58t. And it also shows that the Durbin-Watson statistic of this model is 1.0384.

Given the critical values at the 0.05 significance level for the Durbin-Watson statistic are Dl=1.26 and Du=1.44. Which of the followings is most likely correct?

选项：

A.

There exists a negative serial correlation in the errors.

B.

There exists a positive serial correlation in the errors.

C.

There exists no serial correlation in the errors.

解释：

B is correct.

考点: Linear trend model & log-linear trend model.

解析: 本题考的是对该线性趋势模型所做的DW检验 。 这道题已经给出了DW统计量和两个临界值点 ， 已知DW统计量=1.0384是小于Dl=1.26的 ， 就可以得出这个序列相关是正序列相关的结论 。 所以B选项正确 。

请问怎么看是正相关还是负相关呢？
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1 个答案

星星_品职助教 · 2021年02月05日

同学你好，

serial correlation test的原假设是H0：No serial correlation

本题中，DW statistics=1.0384，题干给出DW关键值Dl=1.26，Du=1.44，所以可以看出 DW statistics（1.0384）落在Dl左侧。

这个区域内的对应结论是①拒绝原假设；②是positive serial correlation，所以直接选择B选项。


对应讲义供参考。

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