Fionaaaa2020-11-15 11:53:41
能否解释一下为何有positive serial correlation时,SE(bi)更容易被低估,从而易产生type I error呢
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Kevin2020-11-16 09:20:34
同学你好!
positive serial correlation的error为0.010,0.015,0.020,0.025, 0.020,0.015,0.010。均值为0.0164,标准差为0.0052。
negative serial correlation的error为0.015,-0.015,0.015,-0.015,0.015,-0.015,0.015。均值为0.0021,标准差为0.0148。
很明显,0.0148>0.0052。即negative serial correlation的标准差更大,即标准误偏高;positive serial correlation的标准差更小,即标准误偏低。
不存在serial correlation的序列一般在两者之间。
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