1000005330532021-06-06 10:24:11
残差项自相关,正相关为什么会导致standard error偏小?type I error是指拒真?
回答(1)
Kevin2021-06-07 11:17:22
同学你好!
1.举个简单的例子:
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。
2.是拒真。
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