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manman · 2023年10月05日

麻烦解释一下C选项

* 问题详情,请 查看题干

NO.PZ201709270100000404

问题如下:

4. Martinez’s Conclusion 1 is:

选项:

A.

correct.

B.

incorrect because the mean and variance of WTI oil prices are not constant over time.

C.

incorrect because the Durbin–Watson statistic of the AR(2) model is greater than 1.75.

解释:

B is correct. There are three requirements for a time series to be covariance stationary. First, the expected value of the time series must be constant and finite in all periods. Second, the variance of the time series must be constant and finite in all periods. Third, the covariance of the time series with itself for a fixed number of periods in the past or future must be constant and finite in all periods. Martinez concludes that the mean and variance of the time series of WTI oil prices are not constant over time. Therefore, the time series is not covariance stationary.

麻烦解释一下C选项,不太懂为啥不选它

1 个答案

星星_品职助教 · 2023年10月08日

同学你好,

DW test只针对普通的多元回归。不会用来检验AR模型。C选项说的是AR中用了DW test,直接就错了。

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NO.PZ201709270100000404 问题如下 4. Martinez’s Conclusion 1 is: correct. incorrebecause the meanvarianof WTI oil prices are not constant over time. C.incorrebecause the rbin–Watson statistic of the AR(2) mol is greater th1.75. B is correct. There are three requirements for a time series to covarianstationary. First, the expectevalue of the time series must constant anfinite in all perio. Secon the varianof the time series must constant anfinite in all perio. Thir the covarianof the time series with itself for a fixenumber of perio in the past or future must constant anfinite in all perio. Martinez conclus ththe meanvarianof the time series of WTI oil prices are not constant over time. Therefore, the time series is not covarianstationary. 这题开头确实是说了meancovarianis not constant, 然后他开始做mol来验证。然后一堆验证后得出一个新的结论 “meancovarianis constant ” 但是答案居然说因为他开头说了“meancovarianis not constant” 所以得选b。所以请问这道题有更严密的逻辑吗?

2022-07-10 19:05 1 · 回答

4. Martinez’s Conclusion 1 is: correct. incorrebecause the meanvarianof WTI oil prices are not constant over time. incorrebecause the rbin–Watson statistic of the AR(2) mol is greater th1.75. B is correct. There are three requirements for a time series to covarianstationary. First, the expectevalue of the time series must constant anfinite in all perio. Secon the varianof the time series must constant anfinite in all perio. Thir the covarianof the time series with itself for a fixenumber of perio in the past or future must constant anfinite in all perio. Martinez conclus ththe meanvarianof the time series of WTI oil prices are not constant over time. Therefore, the time series is not covarianstationary. 这题从Exhibit 2看出是有AR现象,是不是有没有AR现象和covariance-stationary 3个条件是否constant & finite没有关系? 但如果有ARCH现象和单位根,那么则不是 covariance-stationary。还是只有单位根会违背 covariance-stationary ? 这里学的有点混乱,谢谢

2020-08-27 10:44 2 · 回答

4. Martinez’s Conclusion 1 is: correct. incorrebecause the meanvarianof WTI oil prices are not constant over time. incorrebecause the rbin–Watson statistic of the AR(2) mol is greater th1.75. B is correct. There are three requirements for a time series to covarianstationary. First, the expectevalue of the time series must constant anfinite in all perio. Secon the varianof the time series must constant anfinite in all perio. Thir the covarianof the time series with itself for a fixenumber of perio in the past or future must constant anfinite in all perio. Martinez conclus ththe meanvarianof the time series of WTI oil prices are not constant over time. Therefore, the time series is not covarianstationary. 这个结论是从题目中哪些数据中看出来的?

2019-12-20 03:44 1 · 回答

4. Martinez’s Conclusion 1 is: correct. incorrebecause the meanvarianof WTI oil prices are not constant over time. incorrebecause the rbin–Watson statistic of the AR(2) mol is greater th1.75. B is correct. There are three requirements for a time series to covarianstationary. First, the expectevalue of the time series must constant anfinite in all perio. Secon the varianof the time series must constant anfinite in all perio. Thir the covarianof the time series with itself for a fixenumber of perio in the past or future must constant anfinite in all perio. Martinez conclus ththe meanvarianof the time series of WTI oil prices are not constant over time. Therefore, the time series is not covarianstationary. the meanvarianof the time series of WTI oil prices are not constant over time. ---这句话从哪个指标可以看出来?

2019-11-08 02:49 1 · 回答