注册 登录
上一主题：Deferred Tax - DTA DTL
下一主题：Credit Risk-Free Bonds
返回列表 发帖
soverby

Rank: 3Rank: 3

UID
223343 
帖子
431 
主题
51 
注册时间
2011-7-11 
最后登录
2013-9-12 
1# 跳转到 » 倒序看帖
打印
tT
发表于 2011-7-13 16:12 | 只看该作者

Unit root, random walk,covariance stationary

should, problem, equation, itself
below is equation: R(t)=R(t-1)+e, is this a unit root or random walk, under which circumstance unit root is not random walk, if not unit root, can we say it will be covariance stationary.

if coeeficient for R(t-1) t-test is 0.936 and test of significance is 0.95, can we reject H0 and model:R(T) is not unit root?(H0 should be model has unit root)

which test we can use for seasonailty, how can find there is seasonality problem for model itself. should we use AR(4) or AR(12), what's the cretia in choosing lag?

can we use DW test for trend model' s autocorrelation problem, but not for AR model, if for AR model, should we use T-test?

 

相关主题：

. Mock 2010 Q13 daily Var problem

. Hedge ratio: H = nS - c, Rdg 62, EOC 4

. Schweser Practice Exam Book 2, Exam 1, #44

. CFA II 二叉树模型求解！

. Help CFA Level I

收藏 分享

genuinecfa

Rank: 2

UID
223423 
帖子
370 
主题
14 
注册时间
2011-7-11 
最后登录
2014-8-7 
2#
发表于 2011-7-13 16:12 | 只看该作者
Your first equation is a random walk, which is a special type of unit root.

If the coefficient is .936 then it is not a unit root by definition, using the b0 / (1-b1) equation.

Depends on what data is presented. If quarterly, we use AR(4). If monthly, we use AR(12).

DW test cannot be used on an AR model. You have to check if any of the lagged variables are statistically significant. If they are, then you have a problem.

NO EXCUSES

TOP

ryanlb

Rank: 2

UID
223449 
帖子
323 
主题
8 
注册时间
2011-7-11 
最后登录
2016-4-19 
3#
发表于 2011-7-13 16:12 | 只看该作者
bpdulog Wrote:
-------------------------------------------------------
> Your first equation is a random walk, which is a
> special type of unit root.
>
> If the coefficient is .936 then it is not a unit
> root by definition, using the b0 / (1-b1)
> equation.
>
> Depends on what data is presented. If quarterly,
> we use AR(4). If monthly, we use AR(12).
>
> DW test cannot be used on an AR model. You have to
> check if any of the lagged variables are
> statistically significant. If they are, then you
> have a problem.


you're on fire

TOP

scarecrow

Rank: 2

UID
218000 
帖子
278 
主题
132 
注册时间
2011-5-25 
最后登录
2012-9-12 
4#
发表于 2011-7-13 16:12 | 只看该作者
The first equation is a random walk. The dependent variable is itself plus a random error. I believe unit root and random walk are basically descriptions of the same thing. A unit root is the description of the coefficient being equal to one. A random walk is more of a description of the trend.

TOP

5566

Rank: 2

UID
217815 
帖子
268 
主题
132 
注册时间
2011-5-24 
最后登录
2012-9-12 
5#
发表于 2011-7-13 16:12 | 只看该作者
Thanks, can you write a equation which is unit root but not random walk?, if a equation is not unit root, does it necessary to be cov, stationary?

if coeeficient for R(t-1) t-test of coefficient is 1.2(given standard error 0.012, (0.987-1)/0.012=1.2, but test of significance is 0.3, although the equation is R(t)=0.987 R(t-1)+e, it is a unit root, because it significant statistically.

DW test can be used in trend model.

if given a model F(T)=12.3 F(t-1)+1.24 F(t-2)+23+E, without looking at the graph, how do you know to add lag(4) or lag(3), if T-test for lag 4 is 2.3(given 12.3/(SQUART(N))=2.3) and T-test for lag 3 is 3.3(given 32.3/(SQUART(N))=3.3)

should we add lag 4 or lag 3 or both?

TOP

ningning1984

Rank: 2

UID
217804 
帖子
274 
主题
141 
注册时间
2011-5-24 
最后登录
2012-9-12 
6#
发表于 2011-7-13 16:12 | 只看该作者
an equation has to be covariance stationary for it to be economically significant.

DW test can be used in a trend model, but not in an AR(X) model. AR(X) model by definition is a model where data in one period depends on data in prior periods, and by that definition would definitely have serial correlation.

in the last case - you would first add the last significant T-stat - in this case 4.
then check the new model autocorrelations again.
at that point all of the autocorrelations should have become insignificant.

CP

TOP

luda002

Rank: 2

UID
223403 
帖子
404 
主题
29 
注册时间
2011-7-11 
最后登录
2014-8-2 
7#
发表于 2011-7-13 16:12 | 只看该作者
Thanks

why can't add lag3, the book says all T-test significance should be add to the model.

should we use first differencing to correct auto-correlation in AR model and use T-test for checking auto-correction in AR model or should we use Dicky fuller test ?

Is Dicky fuller test same as Dicky fuller EG test which is used for cov. stationary?

TOP

ninja1024

Rank: 2

UID
223444 
帖子
358 
主题
13 
注册时间
2011-7-11 
最后登录
2014-8-6 
8#
发表于 2011-7-13 16:12 | 只看该作者
you would first add 4. If after that on the test of the autocorr. you find 3 is still significant, add it later. You would not add all at one shot. It is an iterative process.

CP

TOP

kingstongal

Rank: 2

UID
223407 
帖子
318 
主题
8 
注册时间
2011-7-11 
最后登录
2014-8-2 
9#
发表于 2011-7-13 16:12 | 只看该作者
Thanks, I will use that idea.

can you eleaborate more on using first differencing technique and Dicky fuller test for AR model?

TOP

返回列表
上一主题：Deferred Tax - DTA DTL
下一主题：Credit Risk-Free Bonds