问题如下图：
选项：
A. 
B. 
C. 
解释：
老师解释一下解题思路？另外first differenced 不是适用于nonsationary的情况吗？
菲菲_品职助教 · 2019年04月21日
同学你好，本题实质上是在考察协方差平稳的三个条件。
我们需要先通过表1的结果进行判断，b0和b1都是等于0的，并且残值的自相关系数也都是等于0的。所以方程被简化为yt=εt，这个方程是满足协方差平稳的三个条件的，所以选择协方差平稳。
再来看你的问题，你说题目并没有告知残差的这些条件，即如何判断“yt=εt，这个方程是满足协方差平稳的三个条件的”。这个其实老师在上课的时候也给我们讲解过。
由回归分析的假设我们可以知道，残差项的均值为0，方差为同方差，即constant，以及第三条，残差项是不相关的，那么他们的协方差也是等于0的。所以就满足了协方差平稳的三个条件。
所以这道题考的比较综合，又考了协方差平稳的条件，又考了回归分析的假设。确实是一道比较灵活的题目。
过儿~ · 2019年04月22日
谢谢老师
NO.PZ201709270100000502 问题如下 2. Baseon the regression output in Exhibit 1, the first-fferenceseries useto run Regression 2 is consistent with: A.a ranm walk. B.covarianstationarity. C.a ranm walk with ift. B is correct. The critict-statistic a 5% confinlevel is 1.98. a result, neither the intercept nor the coefficient on the first lof the first-fferenceexchange rate in Regression 2 ffers significantly from zero. Also, the resiautocorrelations not ffer significantly from zero. a result, Regression 2 creceto yt = εt with a mean-reverting level of b0/(1 – b1) = 0/1 = 0.Therefore, the varianof yt in eaperiois Var(εt) = σ2. The faththe resials are not autocorrelateis consistent with the covarianof the times series, with itself being constant anfinite fferent lags. Because the variananthe meof yt are constant anfinite in eaperio we calso conclu thyt is covarianstationary. 为什么不是ranm walk with a aft ,题目中t统计值为0.4504 ,接受H0:G=0，存在单位根，请助教讲解答疑
NO.PZ201709270100000502 问题如下 2. Baseon the regression output in Exhibit 1, the first-fferenceseries useto run Regression 2 is consistent with: A.a ranm walk. B.covarianstationarity. C.a ranm walk with ift. B is correct. The critict-statistic a 5% confinlevel is 1.98. a result, neither the intercept nor the coefficient on the first lof the first-fferenceexchange rate in Regression 2 ffers significantly from zero. Also, the resiautocorrelations not ffer significantly from zero. a result, Regression 2 creceto yt = εt with a mean-reverting level of b0/(1 – b1) = 0/1 = 0.Therefore, the varianof yt in eaperiois Var(εt) = σ2. The faththe resials are not autocorrelateis consistent with the covarianof the times series, with itself being constant anfinite fferent lags. Because the variananthe meof yt are constant anfinite in eaperio we calso conclu thyt is covarianstationary. 具体的视频讲解在哪里可以找到
NO.PZ201709270100000502 问题如下 2. Baseon the regression output in Exhibit 1, the first-fferenceseries useto run Regression 2 is consistent with: A.a ranm walk. B.covarianstationarity. C.a ranm walk with ift. B is correct. The critict-statistic a 5% confinlevel is 1.98. a result, neither the intercept nor the coefficient on the first lof the first-fferenceexchange rate in Regression 2 ffers significantly from zero. Also, the resiautocorrelations not ffer significantly from zero. a result, Regression 2 creceto yt = εt with a mean-reverting level of b0/(1 – b1) = 0/1 = 0.Therefore, the varianof yt in eaperiois Var(εt) = σ2. The faththe resials are not autocorrelateis consistent with the covarianof the times series, with itself being constant anfinite fferent lags. Because the variananthe meof yt are constant anfinite in eaperio we calso conclu thyt is covarianstationary. yt = εt 为什么不是随机游走
NO.PZ201709270100000502 问题如下 2. Baseon the regression output in Exhibit 1, the first-fferenceseries useto run Regression 2 is consistent with: A.a ranm walk. B.covarianstationarity. C.a ranm walk with ift. B is correct. The critict-statistic a 5% confinlevel is 1.98. a result, neither the intercept nor the coefficient on the first lof the first-fferenceexchange rate in Regression 2 ffers significantly from zero. Also, the resiautocorrelations not ffer significantly from zero. a result, Regression 2 creceto yt = εt with a mean-reverting level of b0/(1 – b1) = 0/1 = 0.Therefore, the varianof yt in eaperiois Var(εt) = σ2. The faththe resials are not autocorrelateis consistent with the covarianof the times series, with itself being constant anfinite fferent lags. Because the variananthe meof yt are constant anfinite in eaperio we calso conclu thyt is covarianstationary. 老师，还是不太明白，题目中“Conclusion 1: The varianof xt increases over time.”，不是说明Xt方差不稳定吗，为什么会选B呢？
NO.PZ201709270100000502 问题如下 2. Baseon the regression output in Exhibit 1, the first-fferenceseries useto run Regression 2 is consistent with: A.a ranm walk. B.covarianstationarity. C.a ranm walk with ift. B is correct. The critict-statistic a 5% confinlevel is 1.98. a result, neither the intercept nor the coefficient on the first lof the first-fferenceexchange rate in Regression 2 ffers significantly from zero. Also, the resiautocorrelations not ffer significantly from zero. a result, Regression 2 creceto yt = εt with a mean-reverting level of b0/(1 – b1) = 0/1 = 0.Therefore, the varianof yt in eaperiois Var(εt) = σ2. The faththe resials are not autocorrelateis consistent with the covarianof the times series, with itself being constant anfinite fferent lags. Because the variananthe meof yt are constant anfinite in eaperio we calso conclu thyt is covarianstationary. 请问本题是否直接可以从b1判断，即因为题目中b1给了不等于1，所以不是unit root或者说是 covariance-stationary?