标题: Without referring to your notes (quant)...... [打印本页] 作者: parott 时间: 2011-7-11 19:30 标题: Without referring to your notes (quant)......
True or false? You can use a DW statistic for testing for serial correlation on a regression equation that uses lagged values. Include a reason in your answer.作者: huangxiaoxie 时间: 2011-7-11 19:30
false. keep it simple soddy!!! it's MC after all.
errm, there is a reason. ultimately you end up checking the significance of the auto-correlations.作者: Houjichasan 时间: 2011-7-11 19:30
is when DW is significant in both a linear and log-linear model????作者: scarecrow 时间: 2011-7-11 19:30
Question. What is the variance of the prediction error? (no peeking at notes!)作者: neil1234 时间: 2011-7-11 19:31
sf^2 = see^2 * {1+1/n + (Xi-xBar)^2/(n-1)sx^2}
CP作者: President1988 时间: 2011-7-11 19:31
actually do not think there is a need. I do not have trouble remembering the formula.
Breaking it down into 3 parts
1
1/n
(Xi-XBar)^2/(n-1)*Sx^2
helps me keep it in mind.
if you referred to searched for Level II posts by mvwt9 -> he had used the Confidence interval method - and selected the one slightly higher... or something like that, instead of memorizing this formula.
CP作者: yalo 时间: 2011-7-11 19:31
Thanks CP and i will search for mvwt9 post.作者: defour44 时间: 2011-7-11 19:31
davidyoung@sitkapacific.com Wrote:
-------------------------------------------------------
> Nice, well done. I don't think we need to memorize
> it either, but I just did.
>
> Here's another one, which I'm sure you'll get.
>
> What is the standard error of the autocorrelations
> of the residuals? (it's not a big equation either)
Square root of n, where n is the number of lagged variables.
NO EXCUSES作者: genuinecfa 时间: 2011-7-11 19:31
it is 1/sqrt(T) where T = # of observations of the sample. (# of time periods for which the time series regression is being performed).
CP作者: bdavi77962 时间: 2011-7-11 19:31
1 - ((n-1/n-k-1) - (1-r^2))
think that's it作者: CPATrader 时间: 2011-7-11 19:31
True or false? You can use a DW statistic for testing for serial correlation on a regression equation that uses lagged values. Include a reason in your answer.
why is this false?
DW is used for serial correlation, isnt it?作者: YAhmed 时间: 2011-7-11 19:31
You use DW for serial correlation.
But the question shows that it is a time series model which by itself mostly has serial correlation. You will need to check the significance of auto correlations to determine whether it is a problem or not.作者: comp_sci_kid 时间: 2011-7-11 19:31
small correction: JP
"
1 - ((n-1/n-k-1) - (1-r^2))
think that's it
"
1 - ((n-1)/(n-k-1) * (1-r^2))
Not Minus but *
CP
Edited 1 time(s). Last edit at Monday, May 3, 2010 at 07:03AM by cpk123.
