NO.PZ201709270100000505
问题如下:
5. Based on the regression output in Exhibit 2, what should lead Busse to conclude that the Regression 3 equation is not correctly specified?
选项:
A. The Durbin–Watson statistic
B. The t-statistic for the slope coefficient
C. The t-statistics for the autocorrelations of the residual
解释:
C is correct. The regression output in Exhibit 2 suggests there is serial correlation in the residual errors. The fourth autocorrelation of the residual has a value of 0.6994 and a t-statistic of 4.3111, which is greater than the t-statistic critical value of 2.02. Therefore, the null hypothesis that the fourth autocorrelation is equal to zero can be rejected. This indicates strong and significant seasonal autocorrelation, which means the Regression 3 equation is misspecified.
就是对autocore elation这个检验是啥意思,t拒绝了说明了啥没明白