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Dinny · 2020年08月15日

问一道题:NO.PZ201709270100000508

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问题如下:

8. Based on Exhibit 5, for which company would the regression of stock prices on oil prices be expected to yield valid coefficients that could be used to estimate the long-term relationship between stock price and oil price?

选项:

A.

Company #1

B.

Company #2

C.

Company #3

解释:

B is correct. When two time series have a unit root but are co-integrated, the error term in the linear regression of one time series on the other will be covariance stationary. Exhibit 5 shows that the series of stock prices of Company #2 and the oil prices both contain a unit root, and the two time series are co-integrated. As a result, the regression coefficients and standard errors are consistent and can be used for hypothesis tests. Although the cointegrated regression estimates the long-term relation between the two series, it may not be the best model of the short-term relationship.

Exhibit 5 shows that the series of stock prices of Company #2 and the oil prices both contain a unit root, and the two time series are co-integrated.


请问 如何通过Exhibit 5 看出来他们含有单位根?

1 个答案

星星_品职助教 · 2020年08月15日

同学你好,

这个是直接读表格读出来的,Exhibit 5的第一列“unit root”表明了company 1和2有单位根,而company 3没有单位根

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NO.PZ201709270100000508 Company #2 Company #3 B is correct. When two time series have a unit root but are co-integrate the error term in the lineregression of one time series on the other will covarianstationary. Exhibit 5 shows ththe series of stoprices of Company #2 anthe oil prices both contain a unit root, anthe two time series are co-integrate a result, the regression coefficients anstanrerrors are consistent ancusefor hypothesis tests. Although the cointegrateregression estimates the long-term relation between the two series, it mnot the best mol of the short-term relationship. 假如company 3: no unit root, no sericorrelation ,是否就可以选择了

2022-02-23 08:42 1 · 回答

Company #2 Company #3 B is correct. When two time series have a unit root but are co-integrate the error term in the lineregression of one time series on the other will covarianstationary. Exhibit 5 shows ththe series of stoprices of Company #2 anthe oil prices both contain a unit root, anthe two time series are co-integrate a result, the regression coefficients anstanrerrors are consistent ancusefor hypothesis tests. Although the cointegrateregression estimates the long-term relation between the two series, it mnot the best mol of the short-term relationship. 题目问的是什么意思?没看懂

2020-02-23 23:53 1 · 回答

    company #3没有unit root,就算X、Y之间不协整,也可以做多元回归分析吧?

2019-05-24 13:23 3 · 回答

请问company1之所以不入选和他有arch现象有联系么?判断三家公司都不constant的点是在他们都有 sericorrelation of error term的缘故么?从哪里可以看出有过单位根的情况?

2019-02-25 21:23 1 · 回答