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SkipperLin · 2022年03月07日

请问一下critical value 4.26大于0，为什么所对应的variable还会落在拒绝域（或者是为什么要去绝对值）

  1. FRM I
  2. Quantitative

NO.PZ2020011101000027

问题如下：

ADF tests are conducted on the log of the ten-year US government bond interest rate using data from 1988 until the end of 2017. The results of the ADF with different configurations of the deterministic terms are reported in the table below. The final three columns report the number of lags included in the test as selected using the AIC and the 5% and 1% critical values that are appropriate for the sample size and included deterministic terms. Do interest rates contain a unit root?


选项：

解释：

The first step is to select the appropriate model to use. For these, the statistical significance of the parameters for the constant and trend must be taken into account.

For the trend model, both of these have t-stats with absolute values >4, well within the bounds of statistical significance at even the 99% level. Accordingly, the proper model to study is the last one. For this model, the t-stat on gamma is to the left of the 1% CV—therefore, the null hypothesis of having a unit root is rejected at the 99% confidence level. Note that if the proper model were either the constant or no-trend then the null hypothesis would not be rejected.

请问一下critical value 4.26大于0，为什么所对应的variable还会落在拒绝域（或者是为什么要去绝对值）？谢谢老师

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DD仔_品职助教 · 2022年03月07日

嗨，努力学习的PZer你好：


同学你好，

这个4.26不是跟0比较啊，4.26是δ0的stat，4.26要跟5%的CV和1%的CV来进行比较。

5%的CV是-3.425,1%的CV是-3.984，判是一个双尾的判断两边都是一样的数据，那么无论是5%还是1%，都是落入拒绝域的，所以拒绝原假设。具体请看下图：

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努力的时光都是限量版，加油！

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