NO.PZ2020010801000002
问题如下:
You suspect that the CAPM held on all days except those with a Federal Open Markets Committee (FOMC) announcement, and on these days the is different. How can a dummy be used to capture this effect? What could you do if you suspected that both a and b are different on FOMC days?
选项:
解释:
The model that allowed differences in the slope would be where is 1 on FOMC days and 0 otherwise. If is not zero, then the slope is different on FOMC days. This can be extended to both parameters by estimating the model
这个公式说明了什么问题?