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黄路迦 · 2022年12月09日

如下

* 问题详情,请 查看题干

NO.PZ202208220100000507

问题如下:

Determine, using the significant variable(s) in Logistic Regression 2 and the information provided, which of the following is closest to the probability of the Alpha ETF being a winning fund and whether it would be classified as a winning fund.

Alpha ETF variable values: small_fund = 0, medium_fund = 0, portfolio_stocks= 99.3%, portfolio_bonds = 0.7%, price_earnings = 25.0, price_book =1.1, price_sales = 4.0, and price_cashflow = 5.7.

Use significance level of 5% and probability threshold for being a winner of 65%.

选项:

A.27.4%, and the Alpha ETF is not classified as a winning fund B.36.0%, and the Alpha ETF is not classified as a winning fund C.82.2%, and the Alpha ETF is classified as a winning fund

解释:

B is correct. Besides the significant intercept, the only significant (at 5% level) variable in Logistic Regression 2 is price_sales. Using these factors, the probability of this ETF being a winning fund is calculated to be 35.95%, as follows:


Because this probability is well below the 65% threshold for being a winner, the Alpha EFT would not be classified as a winning fund.

为什么全部带进去再算这种不行呢?就因为其他都不显著(除了price_sale)??

另外,我想问下这题的H0是什么?为什么落在拒绝域就是winning?

1 个答案

星星_品职助教 · 2022年12月11日

同学你好,

1)题干要求“using the significant variable”,所以不能全代进去,只能代入significant的price_sale;

2)本题并未使用假设检验来判断是否为winning fund。将fund归类为not winning的原因是计算出来的0.3595(35.95%)低于了门槛值65%(probability threshold for being a winner of 65%)

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