标题: 13: Time-Series Analysis-LOS j习题精选 [打印本页]
作者: 土豆妮 时间: 2010-4-8 16:09 标题: [2010]Session 3:-Reading 13: Time-Series Analysis-LOS j习题精选
Session 3: Quantitative Methods: Quantitative
Methods for Valuation
Reading 13: Time-Series Analysis
LOS j: Discuss the steps of the unit root test for nonstationarity and explain the relation of the test to autoregressive time-series models.
Which of the following statements regarding unit roots in a time series is FALSE?
|
A) |
A time series that is a random walk has a unit root. | |
|
B) |
Even if a time series has a unit root, the predictions from the estimated model are valid. | |
|
C) |
A time series with a unit root is not covariance stationary. | |
作者: 土豆妮 时间: 2010-4-8 16:10
Which of the following statements regarding unit roots in a time series is FALSE?
|
A) |
A time series that is a random walk has a unit root. | |
|
B) |
Even if a time series has a unit root, the predictions from the estimated model are valid. | |
|
C) |
A time series with a unit root is not covariance stationary. | |
作者: 土豆妮 时间: 2010-4-8 16:10
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?
|
A) |
The model has a unit root. | |
|
B) |
The slope on lagged sales is not significantly different from one. | |
|
C) |
The model is covariance stationary. | |
作者: 土豆妮 时间: 2010-4-8 16:10
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?
|
A) |
The model has a unit root. | |
|
B) |
The slope on lagged sales is not significantly different from one. | |
|
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.
作者: 土豆妮 时间: 2010-4-8 16:10
An AR(1) autoregressive time series model:
|
A) |
cannot be used to test for a unit root. | |
|
B) |
can be used to test for a unit root, which exists if the slope coefficient equals one. | |
|
C) |
can be used to test for a unit root, which exists if the slope coefficient is less than one. | |
作者: 土豆妮 时间: 2010-4-8 16:10
An AR(1) autoregressive time series model:
|
A) |
cannot be used to test for a unit root. | |
|
B) |
can be used to test for a unit root, which exists if the slope coefficient equals one. | |
|
C) |
can be used to test for a unit root, which exists if the slope coefficient is less than one. | |
If you estimate the following model xt = b0 + b1 × xt-1 + et and get b1 = 1, then the process has a unit root and is nonstationarity.
作者: luqian55 时间: 2010-5-30 17:16
thanks
作者: annyyu 时间: 2010-11-30 05:29
re
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