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刘杨 · 2023年08月26日

dw检验如何判定

  1. CFA II
  2. Quantitative

* 问题详情，请 查看题干

NO.PZ202304050200003402

问题如下：

In Exhibit 1, at the 5% significance level, the lower critical value for the Durbin–Watson test statistic is 1.75 for both the linear and log-linear regressions. Based on the regression output in Exhibit 1, there is evidence of positive serial correlation in the errors in:

选项：

A.

the linear trend model but not the log-linear trend model.

B.

both the linear trend model and the log-linear trend model.

C.

neither the linear trend model nor the log-linear trend model.

解释：

The Durbin–Watson statistic for the linear trend model is 0.10and, for the log-linear trend model, 0.08. Both of these values are below the critical value of 1.75. Therefore, we can reject the hypothesis of no positive serial correlation in the regression errors in both the linear trend model and the log-linear trend model.

小于关键值不是应该接受原假设吗？原假设是没有序列相关。

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1 个答案

星星_品职助教 · 2023年08月27日

同学你好，

参见基础班这个部分。test statistic＜Dl为positive serial correlation。

DW test的具体做法已经不在考纲内，本题（和基础班对应内容）都仅作为加强对DW test的理解。对于DW test，掌握讲义上的定性内容即可。

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