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𝒜𝒩𝒥𝒜 安雅🎃 · 2023年04月14日

positive serial correlation必定导致deflated standard error?

NO.PZ2023040502000021

问题如下:

The chief investment officer (CIO) asks you to analyze model A. He gives you the test results, shown in Exhibit 2.


Identify the type of error and its impacts on regression Model A indicated by the data in Exhibit 2.

选项:

A.

Serial correlation, invalid coefficient estimates, and deflated standard errors

B.

Heteroskedasticity, valid coefficient estimates, and deflated standard errors

C.

Serial correlation, valid coefficient estimates, and inflated standard errors.

解释:

A is correct. The Breusch–Godfrey (BG) test is for serial correlation, and for Model A, the BG test statistic exceeds the critical value. In the presence of serial correlation, if the independent variable is a lagged value of the dependent variable, then regression coefficient estimates are invalid and coefficients’ standard errors are deflated, so t-statistics are inflated.

助教你好,这题我答对了,也听了何老师的讲解。


何老师说如果exhibit 2中最后一栏(independent variable is lagged value of dependent variable)写着No,那得出的结论是serial correlation和valid coefficient estimates;我想确认一下,standard error是deflated standard error吗?谢谢。


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已采纳答案

星星_品职助教 · 2023年04月14日

同学你好,

需要看是positive 还是 negative serial correlation。

如果是positive,则为deflated standard error;如果是negative,则是inflated standard error。

其中positive的情况是金融中比较常见的,教材里举的例子也是这种情况。考察deflated的情况比较多。

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