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台风来了 · 2023年08月03日

图中的multiple R是个什么统计指标啊？

  1. CFA II
  2. Quantitative

* 问题详情，请 查看题干

NO.PZ202304050200002902

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. The variance explained by the model (R-squared) is only 10.3%, and after adjusting for the 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 the variable coefficients are insignificant (i.e., not significantly different from zero). Consequently, monthly seasonality is highly unlikely to exist in this portfolio.

老师，您好！


图中的multiple R是个什么统计指标啊？谢谢！

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1 个答案

星星_品职助教 · 2023年08月06日

同学你好，

muliple R是R-squared开方后取正值。这个指标和本题没有关系，也不在考纲内。不需掌握。

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