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必过1030_ · 2018年10月23日

问一道题:NO.PZ201709270100000505 第5小题 [ CFA II ]

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b选项哪里错了?b选项哪里错了?
1 个答案

菲菲_品职助教 · 2018年10月25日

同学你好,这道题问的是,下面哪个数据可以表明第三个回归模型是不准确的。即AR(1)MODEL.

这道题的考点很明显就是在考季节性因素的存在对模型的影响。你通过B选项的斜率系数的t值并不能得出什么实质性的结论。只有通过自回归分析那张表的t值我们才能发现存在一个非常显著的季节性因素,在影响我们的模型。从而导致AR(1)MODEL是有偏差的。

 

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NO.PZ201709270100000505 问题如下 5. Baseon the regression output in Exhibit 2, whshoulleBusse to conclu ththe Regression 3 equation is not correctly specifie A.The rbin–Watson statisti B.The t-statistic for the slope coefficient C.The t-statistifor the autocorrelations of the resi C is correct. The regression output in Exhibit 2 suggests there is sericorrelation in the resierrors. The fourth autocorrelation of the resiha value of 0.6994 ana t-statistic of 4.3111, whiis greater ththe t-statistic criticvalue of 2.02. Therefore, the null hypothesis ththe fourth autocorrelation is equto zero crejecte This incates strong ansignificant seasonautocorrelation, whimeans the Regression 3 equation is misspecifie test,这个得出的数字值小于CriticValue啊,那为什么A不对啊

2024-03-09 09:01 1 · 回答

NO.PZ201709270100000505 问题如下 5. Baseon the regression output in Exhibit 2, whshoulleBusse to conclu ththe Regression 3 equation is not correctly specifie A.The rbin–Watson statisti B.The t-statistic for the slope coefficient C.The t-statistifor the autocorrelations of the resi C is correct. The regression output in Exhibit 2 suggests there is sericorrelation in the resierrors. The fourth autocorrelation of the resiha value of 0.6994 ana t-statistic of 4.3111, whiis greater ththe t-statistic criticvalue of 2.02. Therefore, the null hypothesis ththe fourth autocorrelation is equto zero crejecte This incates strong ansignificant seasonautocorrelation, whimeans the Regression 3 equation is misspecifie 这道题B不能选的原因是因为,根据b1的t值,可以看出b1是显著不等于0的,所以按照B的意思是方程成立了。因为这个所以不选B吗

2022-12-12 12:13 1 · 回答

NO.PZ201709270100000505 The t-statistic for the slope coefficient The t-statistifor the autocorrelations of the resi C is correct. The regression output in Exhibit 2 suggests there is sericorrelation in the resierrors. The fourth autocorrelation of the resiha value of 0.6994 ana t-statistic of 4.3111, whiis greater ththe t-statistic criticvalue of 2.02. Therefore, the null hypothesis ththe fourth autocorrelation is equto zero crejecte This incates strong ansignificant seasonautocorrelation, whimeans the Regression 3 equation is misspecifie 就是对autocore elation这个检验是啥意思,t拒绝了说明了啥没明白

2022-03-31 11:57 1 · 回答

    不选A的原因是因为题干给了值,但没有给 criticvalue,无法判断A,所以才不选,对吗?

2019-05-24 12:51 3 · 回答