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manman · 2023年10月05日

怎么我看答案和提问都说0.563就是不显著，没明白其中的逻辑关系

  1. CFA II
  2. Quantitative

* 问题详情，请 查看题干

NO.PZ202208220100000405

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

F检验的critical value和test statistic在这道题是多少，怎么我看答案和提问都说0.563就是不显著，没明白其中的逻辑关系

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1 个答案

星星_品职助教 · 2023年10月08日

同学你好，

本题直接给出了F检验的p-value（即significance of F=0.563），不需要去看critical value和test statistic。

由于significance of F / p-value=0.563，所以无法拒绝 方程所有系数都同时等于0 的原假设（除非significance level设到56.3%以上，这种情况不会出现，一般significance level都为1%、5%、10%等较低的值）。也就是F检验不显著，所有X变量的系数同时为0.

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