NO.PZ2023040502000045
问题如下：
Luke examines West Texas Intermediate (WTI) monthly crude
oil price data, expressed in US dollars per barrel, for the 181-month period from
August 2000 through August 2015.
Based on the data for the AR(1) model( the critical value is 1.97), he can conclude that the:
选项：
A.residuals are not serially correlated.
autocorrelations do not differ significantly from zero.
standard error for each of the autocorrelations is
0.0745.
解释：
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 at-statistic in
absolute value that is greater than the critical value of the t-statistic of
1.97.
如题。
