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 , where T represents the number of observations used in the regression. Therefore, the standard error for each of the autocorrelations is = 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?