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lxn · 2021年02月05日

问一道题:NO.PZ2018101001000054 [ CFA II ]

问题如下:

Allen wants to predict the sales volume of his shop in December 20X8, so he uses sales volume of January 20X7 to November 20X8 as samples to make a linear trend model and gets the following result: Y ^ t  =264.75+2.58t. And it also shows that the Durbin-Watson statistic of this model is 1.0384.

Given the critical values at the 0.05 significance level for the Durbin-Watson statistic are Dl=1.26 and Du=1.44. Which of the followings is most likely correct?

选项:

A.

There exists a negative serial correlation in the errors.

B.

There exists a positive serial correlation in the errors.

C.

There exists no serial correlation in the errors.

解释:

B is correct.

考点: Linear trend model & log-linear trend model.

解析: 本题考的是对该线性趋势模型所做的DW检验 。 这道题已经给出了DW统计量和两个临界值点 , 已知DW统计量=1.0384是小于Dl=1.26的 , 就可以得出这个序列相关是正序列相关的结论 。 所以B选项正确 。

请问怎么看是正相关还是负相关呢?
1 个答案

星星_品职助教 · 2021年02月05日

同学你好,

serial correlation test的原假设是H0:No serial correlation

本题中,DW statistics=1.0384,题干给出DW关键值Dl=1.26,Du=1.44,所以可以看出 DW statistics(1.0384)落在Dl左侧。

这个区域内的对应结论是①拒绝原假设;②是positive serial correlation,所以直接选择B选项。


对应讲义供参考。

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2023-04-28 13:06 1 · 回答

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