Marvin Greene is interested in modeling the sales of the retail industry. He collected data on aggregate sales and found the following:
Salest = 0.345 + 1.0 Salest-1
The standard error of the slope coefficient is 0.15, and the number of observations is 60. Given a level of significance of 5%, which of the following can we NOT conclude about this model?
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A) |
The model has a unit root. | |
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B) |
The slope on lagged sales is not significantly different from one. | |
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C) |
The model is covariance stationary. | |
The test of whether the slope is different from one indicates failure to reject the null H0: b1=1 (t-critical with df = 58 is approximately 2.000, t-calculated = (1.0 - 1.0)/0.15 = 0.0). This is a 2-tailed test and we cannot reject the null since 0.0 is not greater than 2.000. This model is nonstationary because the 1.0 coefficient on Salest-1 is a unit root. Any time series that has a unit root is not covariance stationary which can be corrected through the first-differencing process.
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发表于 2010-4-8 16:09
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