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aileen20180623 · 2022年12月05日

这问我选的c

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NO.PZ202208220100000405

问题如下:

Determine using Exhibit 2 which one of the following statements is most likely to be correct. Monthly seasonality in the firm’s portfolio is________.

选项:

A.highly likely B.highly unlikely C.not able to be determined from the given data

解释:

B is correct. Monthly seasonality in the firm’s portfolio is highly unlikely. Thevariance explained by the model (R-squared) is only 10.3%, and after adjusting forthe number of independent variables (adjusted R-squared), it becomes negative.Also, the insignificant F-statistic indicates a 56.3% chance that all variable coefficients are zero. Finally, t-statistics and associated p-values indicate that all thevariable coefficients are insignificant (i.e., not significantly different from zero).Consequently, monthly seasonality is highly unlikely to exist in this portfolio.

您好,这题我不是很懂,我选的c,我看的是pvalue和t对比,不是很理解答案里面的那些多重解释是联合看出还说其中一个看出来的

2 个答案

星星_品职助教 · 2022年12月09日

@黄路迦

是p-value的意思。

星星_品职助教 · 2022年12月06日

同学你好,

这道题主要看的是F检验,由于Exhibit 2中给出的significance of F(即F检验的“p-value”)为0.563,所以无法拒绝方程所有系数都同时等于0的原假设(除非significance level设到56.3%以上)。由此可以得到结论,从Jan,Feb一直到Nov的11个X变量的系数同时为0.

由于这11个变量都是dummy variable,所以系数代表对应月份的excess return和Dec的excess return之差。系数都为0代表每个月份和12月份的excess return之间都没有显著差别,也就不存在seasonality现象。

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对于多元回归,优先看测试所有系数的F检验,对于单独变量的t检验可能会忽略所有系数加在一起对于方程的影响。

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提问时需要选择正确的科目标签,本题标签被设为了CPA 会计。

黄路迦 · 2022年12月09日

significance of F是p-value的意思吗?我以为是critical的意思

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