问题如下:
DeMolay cautions Kamini: “Remember that when we analyze two time series in regression analysis, we need to ensure that
(1) neither the dependent variable series nor the independent variable series has a unit root, or (2) that both series have a unit root and are not cointegrated.
Unless Condition 1 or Condition 2 holds, we cannot rely on the validity of the estimated regression coefficients.
DeMolay's caution given in Condition 1 is best described as:
选项:
A.incorrect because only the dependent variable series needs to be tested for the absence of a unit root.
incorrect because only the independent variable series needs to be tested for the absence of a unit root.
correct
解释:
When working with two time series in a regression analysis, both of the series must be tested for the presence of a unit root. If neither series has a unit root, you can safely use linear regression to test the relationship between the two time series.
题干说 “Remember that when we analyze two time series in regression analysis, we need to ensure that
(2) that both series HAVE a unit root and are NOT cointegrated.
讲义上不是说如果两组时间序列数据如果都存在平方根的现象,则需要两组数据是co-integrated是协整的才可以做回归分析吗?题干说not co-integrated,那不就是incorrect了吗?