NO.PZ2023040502000051
问题如下:
Charlent regresses monthly total returns of theBangkok SET Index on one-month Libor (for a US dollar–denominated contract).The period of the study is from July 2006 to December 2013. To improve thestatistical validity of the variables, for both the SET Index and Libor,Charlent uses the natural logarithms of one plus the monthly returns in theregression calculation.
REGRESSION OF SET INDEX ON LIBOR: ln(1 + SET) = α + β × ln(1+ Libor) + ε
Charlent suspects that his regression equation might not be wellspecified. In particular, he is concerned with the possibility that one or bothof the time series in the regression exhibit a unit root. Using theEngle–Granger approach, he tests the residuals from the regression and rejectsthe null hypothesis that the error term has a unit root.
The most appropriateconclusion that follows from the result of the Engle–Granger test is that thetwo time series are:
选项:
A.
cointegrated and tests of the estimates of theintercept and slope are thus valid.
B.
Not cointegrated and tests of the estimates of theintercept and slope are thus valid.
C.
cointegrated and tests of the estimates of theintercept and slope are thus not valid.
解释:
If the (Engle–Granger) Dickey–Fuller test rejects thenull hypothesis that the error term has a unit root (as Charlent’s test did),then the conclusion is that the error term in the regression is covariancestationary. Therefore, the two time series are cointegrated. The parameters andstandard errors from linear regression will be consistent and will allowtesting of the hypotheses about the long-term relationship between the twoseries.
帮忙解释详细一下这道题。谢谢。