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SHAO · 2023年07月28日

老师,请问B选项

* 问题详情,请 查看题干

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.

老师,还是不太明白,题目中“Conclusion 1: The variance of xt increases over time.”,不是说明Xt方差不稳定吗,为什么会选B呢?

1 个答案
已采纳答案

星星_品职助教 · 2023年07月28日

同学你好,

Conclusion 1是对Xt这个时间序列做的描述。

本题针对的是“the first-differenced series”,也就是Yt这个序列。需要考虑的是Yt自己的性质,不用再去看Xt了。

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