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^(* ̄(oo) ̄)^进击ing🍬🍬 · 2020年02月08日

问一道题:NO.PZ2020011101000027

问题如下:

ADF tests are conducted on the log of the ten-year US government bond interest rate using data from 1988 until the end of 2017. The results of the ADF with different configurations of the deterministic terms are reported in the table below. The final three columns report the number of lags included in the test as selected using the AIC and the 5% and 1% critical values that are appropriate for the sample size and included deterministic terms. Do interest rates contain a unit root?


选项:

解释:

The first step is to select the appropriate model to use. For these, the statistical significance of the parameters for the constant and trend must be taken into account.

For the trend model, both of these have t-stats with absolute values >4, well within the bounds of statistical significance at even the 99% level. Accordingly, the proper model to study is the last one. For this model, the t-stat on γ\gamma is to the right of the 1% CV—therefore, the null hypothesis of having a unit root is rejected at the 99% confidence level. Note that if the proper model were either the constant or no-trend then the null hypothesis would not be rejected.

For this model, the t-stat on \gamma


γ is to the right of the 1% CV—therefore, the null hypothesis of having a unit root is rejected at the 99% confidence level. 

为什么是1% CV的右边 ,难道表格中的t检验结果,-4不是在-3.9的左边???

1 个答案
已采纳答案

orange品职答疑助手 · 2020年02月11日

同学你好,你说的没错,应该是在1% Critical Value的左边。因为这个检验值小于1% 的critical value,所以我们拒绝原假设(原假设是它有单位根)。

本题来源于原版书,虽然它比较大小错了,但最后的结论是对的。(你还可以看一下图中标绿的部分,节选自原版书)

谢谢同学的耐心了。

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