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

kevinzhu · 2022年02月21日

First-differenced log AR(2) model是不是更加准确?

* 问题详情,请 查看题干

NO.PZ201709270100000509

问题如下:

9.Based on Exhibit 5, which single time-series model would most likely be appropriate for Busse to use in predicting the future stock price of Company #3?

选项:

A.

Log-linear trend model

B.

First-differenced AR(2) model

C.

First-differenced log AR(1) model

解释:

C is correct. As a result of the exponential trend in the time series of stock prices for Company #3, Busse would want to take the natural log of the series and then first-difference it. Because the time series also has serial correlation in the residuals from the trend model, Busse should use a more complex model, such as an autoregressive (AR) model.

1、First-differenced log AR(2) model是不是更加准确?

2、如果company 3的AR是Yes,那么怎么做?

1 个答案
已采纳答案

星星_品职助教 · 2022年02月22日

同学你好,

1)AR(2)在这道题里不是必须,AR模型本身就可以用于修复Trend Model的serial correlation。但如果写成First-differenced log AR(2) model也可以选。

2)有ARCH说明有条件异方差问题,此时还需要先修正异方差,例如用General Least Squared的方法。

  • 1

    回答
  • 3

    关注
  • 569

    浏览
相关问题

NO.PZ201709270100000509 问题如下 9.Baseon Exhibit 5, whisingle time-series mol woulmost likely appropriate for Busse to use in precting the future stopriof Company #3? A.Log-linetrenmol B.First-fferenceAR(2) mol C.First-fferencelog AR(1) mol C is correct. a result of the exponentitrenin the time series of stoprices for Company #3, Busse woulwant to take the naturlog of the series anthen first-fferenit. Because the time series also hsericorrelation in the resials from the trenmol, Busse shouluse a more complex mol, suautoregressive (AR) mol. 能不能详细解答下这题是在考什么?为什么最后要用LOG ar

2023-11-06 15:59 1 · 回答

NO.PZ201709270100000509问题如下9.Baseon Exhibit 5, whisingle time-series mol woulmost likely appropriate for Busse to use in precting the future stopriof Company #3? A.Log-linetrenmolB.First-fferenceAR(2) molC.First-fferencelog AR(1) molC is correct. a result of the exponentitrenin the time series of stoprices for Company #3, Busse woulwant to take the naturlog of the series anthen first-fferenit. Because the time series also hsericorrelation in the resials from the trenmol, Busse shouluse a more complex mol, suautoregressive (AR) mol. 一阶差分跟一阶自回归分别用来修正什么问题

2023-10-02 18:13 1 · 回答

NO.PZ201709270100000509 老师好, 在之前学的普通的回归分析中,自相关就是残差项自己和自己有一定的关系;条件异方差是残差的取值随着X的波动而波动。 当来到AR模型这块的时候,我发现其实不论是自相关还是条件异方差,都是残差和自己有关系,然后我就不知道怎么区分了。是不是AR模型中的条件异方差是当前的残差和前一个残差的关系,而AR模型中的异方差就不一定了,有可能是当前的残差和前一个残差的关系,也有可能是当前的残差和前几个残差的关系。 请问老师我这么理解对吗?谢谢

2021-05-19 20:19 1 · 回答

First-fferenceAR(2) mol First-fferencelog AR(1) mol C is correct. a result of the exponentitrenin the time series of stoprices for Company #3, Busse woulwant to take the naturlog of the series anthen first-fferenit. Because the time series also hsericorrelation in the resials from the trenmol, Busse shouluse a more complex mol, suautoregressive (AR) mol. 想问一下,课件里哪里讲到如果时间序列有sericorrelation就用AR解决啊?

2020-12-09 17:34 1 · 回答