开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

izzyli · 2023年10月18日

帮忙解释一下B和C

NO.PZ2023040502000048

问题如下:

Results of the unit root test for nonstationarity andof a test for the presence of heteroskedasticity are reported in Exhibit 5.


Based on the results reported in Exhibit 5, the AR(1)model is best described as having:

选项:

A.

a unit root

B.

heteroskedasticity in the error term variance

C.

reliable standard errors

解释:

B is correct.Because the unit root test statistic (–18.7402) is smaller than the criticalvalue(–2.89), the AR(1) model does not exhibit a unit root. The test forheteroskedasticity, however, suggests that the error term variances areheteroskedastic. The heteroskedasticity test statistic (2.016733) is greaterthan the critical value (1.96). A more sophisticated approach, such asgeneralized least squares, is needed.

A is incorrect.The significantly negative test statistic strongly suggests the absence of aunit root.

C is incorrect. When a model exhibits ARCH, the standarderrors for the regression parameters will not be correct.

帮忙解释一下B和C。谢谢。

1 个答案

星星_品职助教 · 2023年10月19日

同学你好,

B:由于异方差检验的|test statistic|>|critical value|,所以拒绝原假设(H0:No heteroskedasticity)。结论即为有异方差。B选项描述正确。

C:由于模型中存在异方差的问题,所以standard error是不靠谱的。C选项描述错误。

------

B和C在答案解析中均有解释,经典题也有讲解。此后提问请基于讲解/解析中不理解的地方提问。