NO.PZ2018101001000066
问题如下:
Which of the following situations can linear regression be used to model the relationship between two time series?
选项:
A.Only one of two time series has a unit root.
B.Each time series has a unit root but they are cointegrated.
C.Each time series has a unit root and they are not cointegrated.
解释:
B is correct.
考点: Regression with More Than One Time Series & Summary.
解析:只有当两个时间序列都是平稳的,或者两个时间序列都不平稳,但他们是协整的,在这两种情况下我们是可以做回归分析的。两者有其一不平稳,或者两者都不平稳也不协整时,我们是不可以做回归分析的。所以只有B选项符合条件。
unit root 和 cointegrate的含义是什么
只有当两个时间序列都是平稳的,或者两个时间序列都不平稳,但他们是协整的,在这两种情况下我们是可以做回归分析的。两者有其一不平稳,或者两者都不平稳也不协整时,我们是不可以做回归分析的。
平稳和协整的含义是什么