开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

十种笠 · 2021年09月11日

为什么因变量也要检测是否协方差平稳?

NO.PZ2015120204000028

问题如下:

DeMolay cautions Kamini: “Remember that when we analyze two time series in regression analysis, we need to ensure that
(1) neither the dependent variable series nor the independent variable series has a unit root, or (2) that both series have a unit root and are not cointegrated.
Unless Condition 1 or Condition 2 holds, we cannot rely on the validity of the estimated regression coefficients.

DeMolay's caution given in Condition 1 is best described as:


选项:

A.

incorrect because only the dependent variable series needs to be tested for the absence of a unit root.

B.

incorrect because only the independent variable series needs to be tested for the absence of a unit root.

C.

correct

解释:

When working with two time series in a regression analysis, both of the series must be tested for the presence of a unit root. If neither series has a unit root, you can safely use linear regression to test the relationship between the two time series.


为什么因变量也要检测是否协方差平稳?PPT好像只提到x要检测是否协方差平稳

1 个答案

星星_品职助教 · 2021年09月12日

同学你好,

X要检查协方差平稳是AR模型,因变量也是X(下一期的),所以检查自变量就相当于检查了因变量。

本题是cointegration的知识点。背景是Y和X为两个不同的时间序列数据在做一元/多元回归(.......when we analyze two time series in regression analysis。所以这个时候Y和X就都需要去检查。如果有且只有一方有unit root,此时是无法做回归的。

只有双方都没有unit root;或者双方都有unit root且满足cointegration的情况才可以进一步做回归。