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.