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德韵90 · 2019年11月29日

问一道题:NO.PZ2015120204000028

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.

B.

incorrect because only the independent variable series needs to be tested for the absence of a unit root.

C.

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?

1 个答案

星星_品职助教 · 2019年11月29日

同学你好,

对于单位根的理解是没有问题的。如果两组时间序列数据都存在单位根,那么只有这两组数据满足协整,才可以使用多元回归。

不过这道题只问了Conclusion1的内容,协整的论述是在Conclusion2的,所以不涉及。而Conclusion1本身是正确的,加油~