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13995173783 · 2023年06月01日

请老师翻译一下问题

  1. FRM I
  2. Quantitative

NO.PZ2020010801000037

问题如下：

You are interested in understanding the determinants of the yield spread of corporate bonds above a maturity matched sovereign bond. You include three explanatory variables: the leverage defined as the ratio of long-term debt to the book value of assets, a dummy variable for high yield, and a measure of the volatility of the profitability of the issuer. You are interested in testing whether there are nonlinear effects of some of these variables, and so use a RESET test including both the squared and cubic term. The R2R^2 of the original model is 68.6%, and the R2R^2 from the model that includes both additional terms is 68.9%. You have 456 observations. What do you conclude about the specification of the model?

选项：

解释：

The RESET test examines whether the two additional explanatory variables that squared and cubed fitted values have zero coefficients. It is implemented using an F-test:

(0.689−0.6862)/(1−0.689456−6) F2,450(\frac{0.689-0.686}{2})/(\frac{1-0.689}{456-6})~F_{2,450}

The F-test examines the difference between the R2R^2 in the two models. The critical value for an F2,450F_{2,450} is 3.01 (F.INV. RT(0.05,2,450) in Excel). The value of the test statistic is 2.17, which is less than the critical value, and so the null that the coefficient on the squared and cubic terms is 0 is not rejected.

请老师翻译一下问题，没有读懂问题，谢谢老师

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1 个答案

pzqa27 · 2023年06月01日

嗨，爱思考的PZer你好：


你想了解公司债券的收益率差高于期限匹配的主权债券的决定因素。你包括三个解释变量：定义为长期债务与资产账面价值之比的杠杆率，一个高收益率的虚拟变量，以及衡量发行人盈利能力波动性的指标。你想测试其中一些变量是否存在非线性效应，因此使用包括平方和立方项的RESET测试。原始模型的R^2是68.6%，而包括这两个附加项的模型的R^2是68.9%。你有456个观测值。你对此模型有何看法？

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2023-05-20 16:22 1 · 回答

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2023-01-08 09:27 1 · 回答

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2022-06-25 10:30 1 · 回答

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2022-03-31 01:15 1 · 回答