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

返回

Ella · 2024年08月09日

yt = εt 为什么不是随机游走

  1. CFA II
  2. Quantitative

* 问题详情，请 查看题干

NO.PZ201709270100000502

问题如下：

2. Based on the regression output in Exhibit 1, the first-differenced series used to run Regression 2 is consistent with:

选项：

A.

a random walk.

B.

covariance stationarity.

C.

a random walk with drift.

解释：

B is correct. The critical t-statistic at a 5% confidence level is 1.98. As a result, neither the intercept nor the coefficient on the first lag of the first-differenced exchange rate in Regression 2 differs significantly from zero. Also, the residual autocorrelations do not differ significantly from zero. As a result, Regression 2 can be reduced to yt = εt with a mean-reverting level of b0/(1 – b1) = 0/1 = 0.

Therefore, the variance of yt in each period is Var(εt) = σ2. The fact that the residuals are not autocorrelated is consistent with the covariance of the times series, with itself being constant and finite at different lags. Because the variance and the mean of yt are constant and finite in each period, we can also conclude that yt is covariance stationary.

yt = εt 为什么不是随机游走

添加评论
1 个答案
已采纳答案

袁园_品职助教 · 2024年08月10日

嗨，努力学习的PZer你好：


随机游走的定义就是b1=1,而不是b1=0.

简单随机游走（simple random walk）。

b1=1，b0=0，时间序列的方程为： Xt+1=Xt+εt

带漂移项的随机游走（random walk with a drift）。

b1=1，b0≠0，时间序列的方程为： Xt+1=b0+Xt+εt

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

  • 1

    回答

  • 0

    关注

  • 101

    浏览
相关问题

NO.PZ201709270100000502 问题如下 2. Baseon the regression output in Exhibit 1, the first-fferenceseries useto run Regression 2 is consistent with: A.a ranm walk. B.covarianstationarity. C.a ranm walk with ift. B is correct. The critict-statistic a 5% confinlevel is 1.98. a result, neither the intercept nor the coefficient on the first lof the first-fferenceexchange rate in Regression 2 ffers significantly from zero. Also, the resiautocorrelations not ffer significantly from zero. a result, Regression 2 creceto yt = εt with a mean-reverting level of b0/(1 – b1) = 0/1 = 0.Therefore, the varianof yt in eaperiois Var(εt) = σ2. The faththe resials are not autocorrelateis consistent with the covarianof the times series, with itself being constant anfinite fferent lags. Because the variananthe meof yt are constant anfinite in eaperio we calso conclu thyt is covarianstationary. 为什么不是ranm walk with a aft ,题目中t统计值为0.4504 ,接受H0:G=0，存在单位根，请助教讲解答疑

2024-09-03 16:29 1 · 回答

NO.PZ201709270100000502 问题如下 2. Baseon the regression output in Exhibit 1, the first-fferenceseries useto run Regression 2 is consistent with: A.a ranm walk. B.covarianstationarity. C.a ranm walk with ift. B is correct. The critict-statistic a 5% confinlevel is 1.98. a result, neither the intercept nor the coefficient on the first lof the first-fferenceexchange rate in Regression 2 ffers significantly from zero. Also, the resiautocorrelations not ffer significantly from zero. a result, Regression 2 creceto yt = εt with a mean-reverting level of b0/(1 – b1) = 0/1 = 0.Therefore, the varianof yt in eaperiois Var(εt) = σ2. The faththe resials are not autocorrelateis consistent with the covarianof the times series, with itself being constant anfinite fferent lags. Because the variananthe meof yt are constant anfinite in eaperio we calso conclu thyt is covarianstationary. 具体的视频讲解在哪里可以找到

2024-08-25 11:28 1 · 回答

NO.PZ201709270100000502 问题如下 2. Baseon the regression output in Exhibit 1, the first-fferenceseries useto run Regression 2 is consistent with: A.a ranm walk. B.covarianstationarity. C.a ranm walk with ift. B is correct. The critict-statistic a 5% confinlevel is 1.98. a result, neither the intercept nor the coefficient on the first lof the first-fferenceexchange rate in Regression 2 ffers significantly from zero. Also, the resiautocorrelations not ffer significantly from zero. a result, Regression 2 creceto yt = εt with a mean-reverting level of b0/(1 – b1) = 0/1 = 0.Therefore, the varianof yt in eaperiois Var(εt) = σ2. The faththe resials are not autocorrelateis consistent with the covarianof the times series, with itself being constant anfinite fferent lags. Because the variananthe meof yt are constant anfinite in eaperio we calso conclu thyt is covarianstationary. 老师，还是不太明白，题目中“Conclusion 1: The varianof xt increases over time.”，不是说明Xt方差不稳定吗，为什么会选B呢？

2023-07-28 17:18 1 · 回答

NO.PZ201709270100000502 问题如下 2. Baseon the regression output in Exhibit 1, the first-fferenceseries useto run Regression 2 is consistent with: A.a ranm walk. B.covarianstationarity. C.a ranm walk with ift. B is correct. The critict-statistic a 5% confinlevel is 1.98. a result, neither the intercept nor the coefficient on the first lof the first-fferenceexchange rate in Regression 2 ffers significantly from zero. Also, the resiautocorrelations not ffer significantly from zero. a result, Regression 2 creceto yt = εt with a mean-reverting level of b0/(1 – b1) = 0/1 = 0.Therefore, the varianof yt in eaperiois Var(εt) = σ2. The faththe resials are not autocorrelateis consistent with the covarianof the times series, with itself being constant anfinite fferent lags. Because the variananthe meof yt are constant anfinite in eaperio we calso conclu thyt is covarianstationary. 请问本题是否直接可以从b1判断，即因为题目中b1给了不等于1，所以不是unit root或者说是 covariance-stationary?

2023-04-12 09:41 1 · 回答