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Tina · 2019年03月01日

问一道题:NO.PZ201709270100000406 第6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:

还不是很明白,能否把三个选项和解题思路整体都讲一下

1 个答案

菲菲_品职助教 · 2019年03月06日

同学你好,这题问的是根据题干中的AR(1) model的信息,可以推断出下面哪一点?

A选项说残差之间是没有序列相关的。

B选项说自相关是没有显著的不等于0的。

C选项说每一个自相关的标准误都等于0.0745。

这题的解题思路其实就是来分析一下之前的表格。

根据这个表格我们知道在四个滞后项中,有两个是小于临界值的,也就是说滞后3和4项的自相关系数都不是显著的不等于0的,而滞后1和2项的自相关系数是显著的不等于0的。

所以B选项的结论是片面的,只要四个都没有显著的不等于0时才能得出B的结论。

而既然存在两项是相关的,所以残差项是存在序列相关的,那么A选项也就错误了。

根据排除法就能得到C选项的答案了。

那么我们来看C选项,说自相关系数的标准误等于0.0745,这个我们通过计算就可以得到了。

这就是这道题的解题思路。

Spencer · 2020年02月21日

菲菲老师,关于A还可不可以从DW值=1.16低于DL(1.75)说明有正相关关系,从而推测A是错误的

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