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简ying · 2020年12月08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.

有点晕了，题目给的critical value，就是只给了右侧吧？这其实是双尾检验，因为对称分布，省略了左侧-1.97对吧？
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1 个答案

星星_品职助教 · 2020年12月08日

同学你好，

A选项对应的自相关检验是双尾的。给一个关键值就行，因为另一端对称且最终比较的都是绝对值。

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