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ruby5ltc · 2023年01月24日

critical value等于几？

  1. CPA
  2. 会计

* 问题详情，请 查看题干

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.

critical value等于几？

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2 个答案

星星_品职助教 · 2023年03月17日

@𝒜𝒩𝒥𝒜 安雅🎃

不是同一回事。

本题的seasonality是通过n-1个dummy variables体现的，运用的模型是多元回归。AR模型中的seasonality是自己和自己回归体现的，即运用的模型是自回归。

从内容到形式都有不同，不能归并在一起。

星星_品职助教 · 2023年01月29日

同学你好，

本题给出p-value，直接对比p-value和significance level即可。不需要去查critical value。

由于表格中的p-value都非常大，最小的一个也有19.3%，基本不可能小于significance level。也就无法拒绝ρ=0的原假设，即没有serial correlation/seasonality的问题。

𝒜𝒩𝒥𝒜 安雅🎃 · 2023年03月17日

星星助教你好，这题是关于检验季节性，module 5 AR model那里也有检验季节性....这两个检验seasonality是同一回事吗？一个是用X回归出Y，另一个是Xt-1回归出Xt，这样看它们好像不是同一回事吧？学懵了 T^T

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