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wenxing · 2023年02月11日

老师请检查我的思路

  1. CFA II
  2. Quantitative

* 问题详情，请 查看题干

NO.PZ202208300200000102

问题如下：

The results reported in Exhibit 1 are most accurately interpreted as indicating that:

选项：

A.the reported R2 is spurious.

B.multicollinearity is not present.

C.the regression coefficients have inflated standard errors.

解释：

Solution

B is correct. The pairwise correlation is low. The only case in which correlation between independent variables may be a reasonable indicator of multicollinearity occurs in a regression with exactly two independent variables, as is the case in this problem. Furthermore, the additional classic symptoms of multicollinearity (high R2 and significant F-statistic but not significant coefficients) are not present.

A is incorrect. Even in the face of multicollinearity, a regression may have a high R2.

C is incorrect. At least one coefficient (b2) is different from zero.

我是这么想，我用DW检验，看了一下发现1.89接近2，所以r接近0，不能证明有多重共线性，所以不存在高的standard error，第三个答案也是错的？1.63和1.72

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1 个答案

星星_品职助教 · 2023年02月12日

同学你好，

根据选项可知，本题考察的是multicollinearity即多重共线性。DW test检验的是serial correlation，无法验证multicollinearity的情况。

本题应考虑的是和multicollinearity有关系的correlation，即两个X之间的关系。由于相关系数很低，所以可以判断无multicollinearity。

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NO.PZ202208300200000102 问题如下 The results reportein Exhibit 1 are most accurately interpreteincating that: A.the reporteR2 is spurious. B.multicollinearity is not present. C.the regression coefficients have inflatestanrerrors. SolutionB is correct. The pairwise correlation is low. The only case in whicorrelation between inpennt variables ma reasonable incator of multicollinearity occurs in a regression with exactly two inpennt variables, is the case in this problem. Furthermore, the aitionclassic symptoms of multicollinearity (high R2 ansignificant F-statistic but not significant coefficients) are not present.A is incorrect. Even in the faof multicollinearity, a regression mhave a high R2.C is incorrect. least one coefficient (b2) is fferent from zero. 麻烦老师一下C是什么意思，没明白为啥要算test statistic呀？

2024-01-23 22:09 1 · 回答

NO.PZ202208300200000102 问题如下 The results reportein Exhibit 1 are most accurately interpreteincating that: A.the reporteR2 is spurious. B.multicollinearity is not present. C.the regression coefficients have inflatestanrerrors. SolutionB is correct. The pairwise correlation is low. The only case in whicorrelation between inpennt variables ma reasonable incator of multicollinearity occurs in a regression with exactly two inpennt variables, is the case in this problem. Furthermore, the aitionclassic symptoms of multicollinearity (high R2 ansignificant F-statistic but not significant coefficients) are not present.A is incorrect. Even in the faof multicollinearity, a regression mhave a high R2.C is incorrect. least one coefficient (b2) is fferent from zero. 解析中“C is incorrect. least one coefficient (b2) is fferent from zero.”根据什么判断出的 least one coefficient (b2) is fferent from zero？

2023-11-29 20:58 1 · 回答