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xiaoe · 2024年07月15日

这道题是啥意思,C0显著不也可以说明方程成立么。

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NO.PZ202304050200004701

问题如下:

The results depicted in Exhibit 2 are best described as consistent with a regression that has ARCH(1) errors because:

选项:

A.

c1 is significantly different from 1

B.

c1 is significantly different from 0

C.

c0 is significantly different from 0

解释:

We can test whether a time series is ARCH by regressing the squared residuals from a previously estimated time series model on a constant and one lag of the squared residuals (as in Exhibit 2). If the estimate of the slope (c1 in Exhibit 2) of the regression of the squared residuals on the lagged one period squared residuals is statistically significantly different from 0, the time series is ARCH(1).

这道题是啥意思,C0显著不也可以说明方程成立么。

1 个答案

品职助教_七七 · 2024年07月16日

嗨,从没放弃的小努力你好:


本题为用ARCH模型来检测时间序列中有没有异方差现象。

C0显著只能说明这个方程有一个截距项,不能说明方程成立。

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努力的时光都是限量版,加油!

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