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兔小兔 · 2021年12月03日

能解释下b么

  1. CFA II
  2. Quantitative

* 问题详情，请 查看题干

NO.PZ201709270100000406

问题如下：

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 1T\frac{1}{\sqrt{T}}, where T represents the number of observations used in the regression. Therefore, the standard error for each of the autocorrelations is 1180\frac{1}{\sqrt{180}} = 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.

t检验有些lag拒绝 有些没有拒绝不是肯定有不等于0的么？




regectHo 大概有哪几种表示方法可以总结下么


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1 个答案

星星_品职助教 · 2021年12月03日

同学你好，

检验autocorrelation的原假设为 H0：ρ=0，也就是 拒绝原假设（significant）=有序列相关情况。

只要其中有任意一组的ρ≠0 （拒绝原假设），就有序列相关。

本题中lag 1 和lag 2是拒绝原假设的，所以存在序列相关现象，结论为：1）residuals are serially correlated （A选项错误）；2）autocorrelations differ significantly from zero （B选项错误）；

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