A为何不对？

问题如下：

When we do the DF test to test whether there exists the unit root and the result is to reject the H₀: g=0, which of the following conclusions is most likely correct?

选项：

The time series has a unit root and is nonstationary.

The time series does not have a unit root and is stationary.

The time series does not have a unit root and is nonstationary.

解释：

B is correct.

考点: Random walk and unit roots.

解析：DF检验的原假设H₀: g=0意味着b₁=1。如果我们拒绝原假设，就代表b₁≠1，也就意味着此时不存在unit root，并且这个时间序列是平稳的。所以B选项是我们应该得出的正确结论。