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cfa-y · 2023年08月29日

t统计量不需要考虑样本数吗

  1. CFA II
  2. Quantitative

NO.PZ2015120204000014

问题如下：

Based on past research, Hansen selects the following independent variables to predict IPO initial returns:

Underwriter rank = 1–10, where 10 is highest rank

Pre-offer price adjustment (Expressed as a decimal) = (Offer price – Initial filing price)/Initial filing price

Offer size ($ millions) = Shares sold × Offer price

Fraction retained (Expressed as a decimal) = Fraction of total company shares retained by insiders

Hansen collects a sample of 1,725 recent IPOs for his regression model.

\Hansen’s Regression Results Dependent Variable: IPO Initial Return (Expressed in Decimal Form, i.e., 1% = 0.01)




The 95 percent confidence interval for the regression coefficient for the pre-offer price adjustment is closest to:

选项：

A.

0.156 to 0.714.

B.

0.395 to 0.475.

C.

0.402 to 0.468.

解释：

B is correct.

The 95% confidence interval is 0.435 ± (0.0202 × 1.96) = (0.395, 0.475).

计算中不用考虑n=1700多这个信息吗

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2 个答案

星星_品职助教 · 2023年08月31日

@cfa-y

提问中为检验均值的检验统计量公式，本题为求回归系数置信区间。两者不同。

多元回归的系数估计量的标准误公式教材没有给出，涉及到的题目会直接给出标准误的数值。

星星_品职助教 · 2023年08月30日

同学你好，

本题题干表格中已经给出了标准误的数值，即这个值是已经考虑了n后得到的计算结果。不需要再考虑一遍n，直接使用即可。


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