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魏丽aa · 2018年12月16日

问一道题:NO.PZ201709270100000508 第8小题

* 问题详情,请 查看题干

问题如下图:

    读不懂题的英文?(哪个公司的股价对油价的回归yield valid系数能够用来做长期回归? ) 还有就是答案的后半段是啥,为啥短期不好?

选项:

A.

B.

C.

解释:



1 个答案

菲菲_品职助教 · 2018年12月16日

同学你好,其实题目写了这么多文字,只想表明一个意思,就是下面哪个公司我们是可以做回归分析的。只有当两个时间序列都是平稳的,或者两个时间序列都不平稳,但他们是协整的,在这两种情况下我们是可以做回归分析的。两者有其一不平稳,或者两者都不平稳也不协整时,我们是不可以做回归分析的。所以只有公司2符合条件。

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NO.PZ201709270100000508 Company #2 Company #3 B is correct. When two time series have a unit root but are co-integrate the error term in the lineregression of one time series on the other will covarianstationary. Exhibit 5 shows ththe series of stoprices of Company #2 anthe oil prices both contain a unit root, anthe two time series are co-integrate a result, the regression coefficients anstanrerrors are consistent ancusefor hypothesis tests. Although the cointegrateregression estimates the long-term relation between the two series, it mnot the best mol of the short-term relationship. 假如company 3: no unit root, no sericorrelation ,是否就可以选择了

2022-02-23 08:42 1 · 回答

Exhibit 5 shows ththe series of stoprices of Company #2 anthe oil prices both contain a unit root, anthe two time series are co-integrate 请问 如何通过Exhibit 5 看出来他们含有单位根?

2020-08-15 14:29 1 · 回答

Company #2 Company #3 B is correct. When two time series have a unit root but are co-integrate the error term in the lineregression of one time series on the other will covarianstationary. Exhibit 5 shows ththe series of stoprices of Company #2 anthe oil prices both contain a unit root, anthe two time series are co-integrate a result, the regression coefficients anstanrerrors are consistent ancusefor hypothesis tests. Although the cointegrateregression estimates the long-term relation between the two series, it mnot the best mol of the short-term relationship. 题目问的是什么意思?没看懂

2020-02-23 23:53 1 · 回答

    company #3没有unit root,就算X、Y之间不协整,也可以做多元回归分析吧?

2019-05-24 13:23 3 · 回答

请问company1之所以不入选和他有arch现象有联系么?判断三家公司都不constant的点是在他们都有 sericorrelation of error term的缘故么?从哪里可以看出有过单位根的情况?

2019-02-25 21:23 1 · 回答