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: residuals are not serially correlated.
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.
但是对于表2,我有点疑问,比如AR1和AR2存在序列相关,但是AR3和AR4不存在的话?
可以得出一个什么结论?比如我们可以用AR3或者AR4模型吗?