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标题: [CFA入门] 请教2012 L2 sample version 1 第十题 [打印本页]

作者: gagarin61412 时间: 2012-5-25 05:03 标题: 请教2012 L2 sample version 1 第十题

10. Assuming a 5%level of significance, the Dickey-Fuller results reported in Exhibit 2 show that the: A. Test for a unit root is inconclusive for the dependent variable. B. Dependent variable exhibits a unit root but the independent variables do not. C. Independent variable exhibits a unit root but the dependent variables do not.

为什么Dependent variable exhibits a unit root ？1.591>0.1123 也应该拒绝啊

作者: gagarin61412 时间: 2012-5-25 05:04

图片附件: [10] 无标题.png (2012-5-25 05:04, 200.04 KB) / 下载次数 0
http://forum.theanalystspace.com/attachment.php?aid=20110&k=b533ac6fadaaf2db286c405a34ea7a69&t=1734751430&sid=P5030T

作者: 必胜2012 时间: 2012-5-26 12:53

本帖最后由必胜2012 于 2012-5-26 12:55 编辑

I am confused too. Waiting for wisdom to answer it!
the P-value for t is 0.1123, which means the null could be refused at higher level, not necessarily 5% signigicance level. so the dependent variable should not be unit root?

作者: maxim0207 时间: 2012-5-27 01:55

我能问一下楼主sample exam在哪里可以下载到么。。

作者: gagarin61412 时间: 2012-5-27 13:53

回复 4# maxim0207

http://bbs.cfaspace.com/thread-434897-1-1.html

作者: wyhatom 时间: 2012-5-28 17:48

DF没有拒绝，不就是有random walk么？

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