验证了下b1和1的关系

* 问题详情，请查看题干

NO.PZ201709270100000407

问题如下：

7.Based on the mean-reverting level implied by the AR(1) model regression output in Exhibit 1, the forecasted oil price for September 2015 is most likely to be:

选项：

less than $42.86.

equal to $42.86.

greater than $42.86.

解释：

C is correct. The mean-reverting level from the AR(1) model is calculated as

${\overset\wedge X}_t=\frac{b_0}{1-b_1}=\frac{1.5948}{1-0.9767}=\$68.45$

Therefore, the mean-reverting WTI oil price from the AR(1) model is $68.45. The forecasted oil price in September 2015 will likely be greater than $42.86 because the model predicts that the price will rise in the next period from the August 2015 price of $42.86.

AR(1)其实有个b1是not significant different from 1的情况，但是针对这道题就不用考虑这些对吗？

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星星_品职助教 · 2021年02月28日

同学你好，

不用考虑，除非题干就指定要去检查b1=1的情况（基本不可能），否则AR模型检查的都是g=0的情况（DF test）。

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NO.PZ201709270100000407 问题如下 7.Baseon the mean-reverting level impliethe AR(1) mol regression output in Exhibit 1, the forecasteoil prifor September 2015 is most likely to be: less th$42.86. equto $42.86. greater th$42.86. C is correct. The mean-reverting level from the AR(1) mol is calculateasX∧t=b01−b1=1.59481−0.9767=$68.45{\overset\wee X}_t=\frac{b_0}{1-b_1}=\frac{1.5948}{1-0.9767}=\$68.45X∧t=1−b1b0=1−0.97671.5948=$68.45Therefore, the mean-reverting WTI oil prifrom the AR(1) mol is $68.45. The forecasteoil priin September 2015 will likely greater th$42.86 because the mol prects ththe priwill rise in the next periofrom the August 2015 priof $42.86. 这道题可以用题目中给的AR1的公式，去计算2015年9月的数值吗？然后计算出来比42.86大。

2022-10-05 18:13 1 · 回答

NO.PZ201709270100000407 7.Baseon the mean-reverting level impliethe AR(1) mol regression output in Exhibit 1, the forecasteoil prifor September 2015 is most likely to be: less th$42.86. equto $42.86. greater th$42.86. C is correct. The mean-reverting level from the AR(1) mol is calculateX∧t=b01−b1=1.59481−0.9767=$68.45{\overset\wee X}_t=\frac{b_0}{1-b_1}=\frac{1.5948}{1-0.9767}=\$68.45X∧t=1−b1b0=1−0.97671.5948=$68.45 Therefore, the mean-reverting WTI oil prifrom the AR(1) mol is $68.45. The forecasteoil priin September 2015 will likely greater th$42.86 because the mol prects ththe priwill rise in the next periofrom the August 2015 priof $42.86. 如果68.45是mereveting吗，Xt 不是和mean相比？我有点糊涂，条件里的42.XX和这个mereverting关系, 如果Xt>mereverting ,Xt+1<XT 预测2015年9月份我用的182带入AR1，我拿AR1的值和42比的，感觉自己不是很理解这个XT和XThat

2022-01-11 19:30 1 · 回答

7.Baseon the mean-reverting level impliethe AR(1) mol regression output in Exhibit 1, the forecasteoil prifor September 2015 is most likely to be: less th$42.86. equto $42.86. greater th$42.86. C is correct. The mean-reverting level from the AR(1) mol is calculateX∧t=b01−b1=1.59481−0.9767=$68.45{\overset\wee X}_t=\frac{b_0}{1-b_1}=\frac{1.5948}{1-0.9767}=\$68.45X∧t=1−b1b0=1−0.97671.5948=$68.45 Therefore, the mean-reverting WTI oil prifrom the AR(1) mol is $68.45. The forecasteoil priin September 2015 will likely greater th$42.86 because the mol prects ththe priwill rise in the next periofrom the August 2015 priof $42.86. AR(1)是否表示9月？前面有个小问说AR(2)才是9月，解题和这有关吗

2020-12-04 17:48 1 · 回答

7.Baseon the mean-reverting level impliethe AR(1) mol regression output in Exhibit 1, the forecasteoil prifor September 2015 is most likely to be: less th$42.86. equto $42.86. greater th$42.86. C is correct. The mean-reverting level from the AR(1) mol is calculate[#PZMATH1348#] Therefore, the mean-reverting WTI oil prifrom the AR(1) mol is $68.45. The forecasteoil priin September 2015 will likely greater th$42.86 because the mol prects ththe priwill rise in the next periofrom the August 2015 priof $42.86. 公式在哪里？公式在哪里？

2019-11-08 03:01 1 · 回答

验证了下b1和1的关系

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