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慧慧 · 2020年02月23日

问一道题：NO.PZ201709270100000406 第6小题 [ CFA II ]

  1. CFA II
  2. Quantitative

* 问题详情，请 查看题干

问题如下：

6. Based on the data for the AR(1) model in Exhibits 1 and 2, Martinez can conclude that the:

选项：

A.

residuals are not serially correlated.

B.

autocorrelations do not differ significantly from zero.

C.

standard error for each of the autocorrelations is 0.0745.

解释：

C is correct. The standard error of the autocorrelations is calculated as frac1Tfrac1{\sqrt T}, where T represents the number of observations used in the regression. Therefore, the standard error for each of the autocorrelations is frac1180frac1{\sqrt{180}} = 0.0745. Martinez can conclude that the residuals are serially correlated and are significantly different from zero because two of the four autocorrelations in Exhibit 2 have a t-statistic in absolute value that is greater than the critical value of 1.97.

Choices A and B are incorrect because two of the four autocorrelations have a t-statistic in absolute value that is greater than the critical value of the t-statistic of 1.97.

C选项标准误不应该是1/根号下n吗，为什么是n-1？
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1 个答案

星星_品职助教 · 2020年02月23日

同学你好，

标准误的公式是根号下T，T是observation的值，在这道题里可以直接用表格里给的180.

如果分析的话，对于AR(1)，T=n-1.

无论是这个知识点，还是这道题，上课的时候都讲过。课后题也讲过一遍。上课时候已经讲过的可以不用再提问了。

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