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ZAA · 2022年03月31日

对autocorelation检验是检验的shenme没明白

  1. CFA II
  2. Quantitative

* 问题详情，请 查看题干

NO.PZ201709270100000505

问题如下：

5. Based on the regression output in Exhibit 2, what should lead Busse to conclude that the Regression 3 equation is not correctly specified?

选项：

A.

The Durbin–Watson statistic

B.

The t-statistic for the slope coefficient

C.

The t-statistics for the autocorrelations of the residual

解释：

C is correct. The regression output in Exhibit 2 suggests there is serial correlation in the residual errors. The fourth autocorrelation of the residual has a value of 0.6994 and a t-statistic of 4.3111, which is greater than the t-statistic critical value of 2.02. Therefore, the null hypothesis that the fourth autocorrelation is equal to zero can be rejected. This indicates strong and significant seasonal autocorrelation, which means the Regression 3 equation is misspecified.

就是对autocore elation这个检验是啥意思，t拒绝了说明了啥没明白
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1 个答案

星星_品职助教 · 2022年03月31日

同学你好，

autocorrelation的t test中，原假设为ρ=0，这是无线性相关关系（correlation）的含义。所以如果不能拒绝原假设，就认为方程没有serial correlation。

反之，如果拒绝原假设（只要有一个t-statistic大于了critical value，就可以拒绝原假设），此时相当于ρ≠0，即有线性相关的关系，也就是有serial correlation。据此可以得出方程“ not correctly specified”


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NO.PZ201709270100000505 问题如下 5. Baseon the regression output in Exhibit 2, whshoulleBusse to conclu ththe Regression 3 equation is not correctly specifie A.The rbin–Watson statisti B.The t-statistic for the slope coefficient C.The t-statistifor the autocorrelations of the resi C is correct. The regression output in Exhibit 2 suggests there is sericorrelation in the resierrors. The fourth autocorrelation of the resiha value of 0.6994 ana t-statistic of 4.3111, whiis greater ththe t-statistic criticvalue of 2.02. Therefore, the null hypothesis ththe fourth autocorrelation is equto zero crejecte This incates strong ansignificant seasonautocorrelation, whimeans the Regression 3 equation is misspecifie test，这个得出的数字值小于CriticValue啊，那为什么A不对啊

2024-03-09 09:01 1 · 回答

NO.PZ201709270100000505 问题如下 5. Baseon the regression output in Exhibit 2, whshoulleBusse to conclu ththe Regression 3 equation is not correctly specifie A.The rbin–Watson statisti B.The t-statistic for the slope coefficient C.The t-statistifor the autocorrelations of the resi C is correct. The regression output in Exhibit 2 suggests there is sericorrelation in the resierrors. The fourth autocorrelation of the resiha value of 0.6994 ana t-statistic of 4.3111, whiis greater ththe t-statistic criticvalue of 2.02. Therefore, the null hypothesis ththe fourth autocorrelation is equto zero crejecte This incates strong ansignificant seasonautocorrelation, whimeans the Regression 3 equation is misspecifie 这道题B不能选的原因是因为，根据b1的t值，可以看出b1是显著不等于0的，所以按照B的意思是方程成立了。因为这个所以不选B吗

2022-12-12 12:13 1 · 回答

    不选A的原因是因为题干给了值，但没有给 criticvalue，无法判断A，所以才不选，对吗？

2019-05-24 12:51 3 · 回答

b哪里错了？b哪里错了？

2018-10-23 20:38 1 · 回答