问题如下:
The purpose of more than one order lagged moving average process is to:
选项:
A.invert the moving average process to make the formula more useful.
B.add exactly two additional lagged variables to the original specification, because 2-nd order moving average estimates most accurately.
C.add another error term to an MA(1) process.
D.add as many additional lagged variables as needed to more robustly estimate the data series.
解释:
D is correct.
考点:MA Process and AR rocess
解析:在移动平均过程中用很多自变量的意义是为了获得更好的因变量的估计,多滞后几个数据进行估计有时候会获得更可靠的结果。
加更多的自变量会使得模型变得复杂,这个原理是否和d选项存在冲突呢?谢谢