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sabrinababe · 2022年01月29日

Du=1.44 是什么作用？

  1. CFA II
  2. Quantitative

NO.PZ2018101001000054

问题如下：

Allen wants to predict the sales volume of his shop in December 20X8, so he uses sales volume of January 20X7 to November 20X8 as samples to make a linear trend model and gets the following result: Y ^ t =264.75+2.58t. And it also shows that the Durbin-Watson statistic of this model is 1.0384.

Given the critical values at the 0.05 significance level for the Durbin-Watson test are Dl=1.26 and Du=1.44. Which of the followings is most likely correct?

选项：

A.

There exists a negative serial correlation in the errors.

B.

There exists a positive serial correlation in the errors.

C.

There exists no serial correlation in the errors.

解释：

B is correct.

考点: Linear trend model & log-linear trend model.

解析: 本题考的是对该线性趋势模型所做的DW检验 。 这道题已经给出了DW统计量和两个临界值点 ， 已知DW统计量=1.0384是小于Dl=1.26的 ， 就可以得出这个序列相关是正序列相关的结论 。 所以B选项正确 。

所以如果DW值

Du值是干嘛的呢？

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1 个答案

星星_品职助教 · 2022年01月30日

同学你好，

参见这个图。例如DW statistic小于Dl就对应最左侧的正相关；

其他情况也可以根据具体的DW statistic的取值来对应得到相应的结论。

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