NO.PZ2023040502000048
问题如下：
Results of the unit root test for nonstationarity and
of 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
heteroskedasticity in the error term variance
reliable standard errors
解释：
B is correct.
Because the unit root test statistic (–18.7402) is smaller than the critical
value(–2.89), the AR(1) model does not exhibit a unit root. The test for
heteroskedasticity, however, suggests that the error term variances are
heteroskedastic. The heteroskedasticity test statistic (2.016733) is greater
than the critical value (1.96). A more sophisticated approach, such as
generalized least squares, is needed.
A is incorrect.
The significantly negative test statistic strongly suggests the absence of a
unit root.
C is incorrect. When a model exhibits ARCH, the standard
errors for the regression parameters will not be correct.
unit root test的原假设是g=0。t-stat < critical value，不能拒绝原假设。所以有unit root。为什么不选A呢
