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Melodyxie · 2018年12月16日

问一道题:NO.PZ201709270100000404 第4小题 [ CFA II ]

* 问题详情,请 查看题干

问题如下图:

选项:

A.

B.

C.

解释:

可不可以用AR模型里自己计算b1的t test来判断?

1 个答案

菲菲_品职助教 · 2018年12月16日

同学你好,判断是否是协方差平稳首先我们应该想到的是是否满足协方差平稳的三个条件。就是解析里面分析的那样。单从AR模型里自己计算b1的t test来进行判断是欠妥的。

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