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schuaiiza · 2021年10月10日

如何得出b1,b0等于0?

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NO.PZ201709270100000502

问题如下:

2. Based on the regression output in Exhibit 1, the first-differenced series used to run Regression 2 is consistent with:

选项:

A.

a random walk.

B.

covariance stationarity.

C.

a random walk with drift.

解释:

B is correct. The critical t-statistic at a 5% confidence level is 1.98. As a result, neither the intercept nor the coefficient on the first lag of the first-differenced exchange rate in Regression 2 differs significantly from zero. Also, the residual autocorrelations do not differ significantly from zero. As a result, Regression 2 can be reduced to yt = εt with a mean-reverting level of b0/(1 b1) = 0/1 = 0.

Therefore, the variance of yt in each period is Var(εt) = σ2. The fact that the residuals are not autocorrelated is consistent with the covariance of the times series, with itself being constant and finite at different lags. Because the variance and the mean of yt are constant and finite in each period, we can also conclude that yt is covariance stationary.

请问如何得出B1,b0 等于0?
2 个答案

星星_品职助教 · 2021年10月13日

@schuaiiza

单尾还是双尾要看备择假设。以b1为例,由于这道题的原假设是b1=0,所以备择假设就是b1≠0,即双尾假设,拒绝域在两边。

星星_品职助教 · 2021年10月10日

同学你好,

由于b0和b1对应的test statistics的绝对值都小于1.98,所以都不能拒绝(等于0的)原假设。也就是b0和b1都为0

schuaiiza · 2021年10月12日

秦请问这是单尾还是双尾呢? 有点迷了 怎么确定拒绝域?

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