2011 paid sample1里的第11题
11. Question
Based on Exhibit 3 and Exhibit 4 and the reported Durbin-Watson statistic, the most appropriate conclusion is:
A. serial correlation is not significant and the standard errors are likely to be underestimated.
B. significant serial correlation is present and the standard errors are likely to be overestimated.
C. significant serial correlation is present and the standard errors are likely to be underestimated.
Feedback: You have answered incorrectly.
Correct answer: C
"Multiple Regression and Issues in Regression Analysis," Richard A. DeFusco, CFA, Dennis W. McLeavey, CFA, Jerald E. Pinto, CFA, and David E. Runkle, CFA
2011 Modular Level II, Vol. 1, pp. 381–384
Study Session 3-12-i
Discuss the types of heteroskedasticity and the effects of heteroskedasticity and serial correlation on statistical inference.
The value of the Durbin-Watson statistic exceeds the upper critical value (1.9566 > 1.73). We fail to reject the null hypothesis of no positive serial correlation. When serial correlation is present, the standard errors of the estimates are artificially small, leading to inflated t-statistics and suggesting significance where perhaps there is none.
这句：We fail to reject the null hypothesis of no positive serial correlation
fail to reject不就是说accept么？accept no positive serial correlation。那就应该选serial correlation is not significant呀，跟他后面说的不一样了作者: vsman 时间: 2012-5-28 11:35
