NO.PZ2019040801000057
问题如下：
There is a problem with the first-order moving average [MA(1)] process. Which of the following statements represents the problem and how to resolve it? The problem is the moving average representation of the MA(1) process:
选项：
A.incorporate only observable shocks, so the solution is to use a moving average representation.
B.incorporate unobservable shocks, so the solution is to use a moving average representation.
C.incorporate unobservable shocks, so the solution is to use an autoregressive representation.
D.incorporate only observable shocks, so the solution is to use an autoregressive representation.
解释：
C is correct.
考点：一阶移动平均
解析：一阶移动平均的问题在于它无法根据无法观察的白噪声冲击估计一个变量，解决方法是转换成自回归模型，使用可观察的项。
看了之前的解答：MA model中，今天的数据=今天的shock + θ*过去的shock，即今天的数据完全是今天和昨天的shock之和，这些shock是无关、随机的。如果一组时间序列之间是有联系的，即昨天的数据yt-1对今天的数据yt有影响，那么就不能用这个模型，应该用带有yt-1的AR模型更合理些。
那为什么不选A？A说的不是如果是shock，就选MA模型？
