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未命名 · 2022年01月12日

麻烦用中文解释下这道题目应该怎么做，谢谢

  1. CFA II
  2. Quantitative

* 问题详情，请 查看题干

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.

麻烦用中文解释下这道题目应该怎么做，谢谢

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1 个答案

星星_品职助教 · 2022年01月12日

同学你好，

这道题基础班已经讲过。如果还有疑问，可以就具体的时间点进行提问。

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