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syfzln · 2025年03月11日

求解

NO.PZ2024120401000035

问题如下:

ADF tests are conducted on the log of the ten-year US government bond interest rate using data from 1988 until the end of 2017. The results of the ADF with different configurations of the deterministic terms are reported in the table below. The final three columns report the number of lags included in the test as selected using the AIC and the 5% and 1% critical values that are appropriate for the sample size and included deterministic terms. Do interest rates contain a unit root ?

选项:

A.

interest rates have a unit root

B.

interest rates do not have a unit root

C.

cannot decide.

解释:

The first step is to select the appropriate model to use. For these, the statistical significance of the parameters for the constant and trend must be taken into account. For the trend model, both of these have t-statistics with absolute values >4, well within the bounds of statistical significance at even the 99% level. Accordingly, the proper model to study is the last one.

For this model, the t-stat on γ is to the left of the 1% CV (i.e., the test statistic is more negative than the critical value so is in the rejection region)—therefore, the null hypothesis of having a unit root is rejected at the 99% confidence level.

括号里的数字怎么区分是标准误还是p值

syfzln · 2025年03月11日

t统计量绝对值要大于4的结论是哪里得到的?

1 个答案

李坏_品职助教 · 2025年03月12日

嗨,努力学习的PZer你好:


这个是统计学的经验法则,讲义里没写。当t统计量的绝对值大于4的时候(大于3.5其实也就够了),足以在99%以内的置信度情况下都显著了。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!