NO.PZ201709270100000502
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.
请问如何得出B1，b0 等于0？
