用另一个公式计算

NO.PZ202208220100000205问题如下 Calculate the joint F-statistic antermine whether SMB anMOM together contribute to explaining RET in Mol 3 a 1% significanlevel (use a criticvalue of 4.849). A.2.216, so SMB anMOM together not contribute to explaining RETB.8.863, so SMB anMOM together contribute to explaining RETC.9.454, so SMB anMOM together contribute to explaining RET B is correct. To termine whether SMB anMOM together contribute to theexplanation of RET, least one of the coefficients must non-zero. So, H0:bSM= bMOM = 0 anHbSMB ≠ 0 anor bMOM ≠ 0.We use the F-statistiwhere with q = 2 ann – k – 1 = 90 grees of freem. The test is one-taile right si,with α = 1%, so the criticF-value is 4.849.Mol 1 es not inclu SMB anMOM, so it is the restrictemol. Mol3 inclus all of the variables of Mol 1 well SMB anMOM, so it is the unrestrictemol.Using ta in Exhibit 1 anExhibit 3, the joint F-statistic is calculateasSin8.863 4.849, we rejeH0. Thus, SMB anMOM together contribute to the explanation of RET in Mol 3 a 1% significanlevel. 这种题型考试会考吗？属于考钢的内的吗？

NO.PZ202208220100000205问题如下 You are a junior analyst asset management firm. Your supervisor asks you toanalyze the return ivers for one of the firm’s portfolios. She asks you to constructa regression mol of the portfolio’s monthly excess returns (RET) againstthree factors: the market excess return (MRKT), a value factor (HML), anthemonthly percentage change in a volatility inx (VIX). You collethe ta anun the regression. After completing the first regression (Mol 1), you reviewthe ANOVA results with your supervisor.Then, she asks you to create two more mols aing two more explanatoryvariables: a size factor (SMana momentum factor (MOM). Your three molsare follows:The regression statistianANOVA results for the three mols are shown inExhibit 1, Exhibit 2, anExhibit 3.Your supervisor asks for your assessment of the mol thprovis the best fitwell the mol this best for precting values of the monthly portfolioreturn. So, you calculate Akaike’s information criterion (AIanSchwarz’sBayesiinformation criterion (BIfor all three mols, shown in Exhibit 4. Calculate the joint F-statistic antermine whether SMB anMOM together contribute to explaining RET in Mol 3 a 1% significanlevel (use a criticvalue of 4.849). A.2.216, so SMB anMOM together not contribute to explaining RETB.8.863, so SMB anMOM together contribute to explaining RETC.9.454, so SMB anMOM together contribute to explaining RET B is correct. To termine whether SMB anMOM together contribute to theexplanation of RET, least one of the coefficients must non-zero. So, H0:bSM= bMOM = 0 anHbSMB ≠ 0 anor bMOM ≠ 0.We use the F-statistiwhere with q = 2 ann – k – 1 = 90 grees of freem. The test is one-taile right si,with α = 1%, so the criticF-value is 4.849.Mol 1 es not inclu SMB anMOM, so it is the restrictemol. Mol3 inclus all of the variables of Mol 1 well SMB anMOM, so it is the unrestrictemol.Using ta in Exhibit 1 anExhibit 3, the joint F-statistic is calculateasSin8.863 4.849, we rejeH0. Thus, SMB anMOM together contribute to the explanation of RET in Mol 3 a 1% significanlevel. freem. The test is one-taile right si, with a = 1%, so the criticF-value is 4.849.

NO.PZ202208220100000205 问题如下 Calculate the joint F-statistic antermine whether SMB anMOM together contribute to explaining RET in Mol 3 a 1% significanlevel (use a criticvalue of 4.849). A.2.216, so SMB anMOM together not contribute to explaining RET B.8.863, so SMB anMOM together contribute to explaining RET C.9.454, so SMB anMOM together contribute to explaining RET B is correct. To termine whether SMB anMOM together contribute to theexplanation of RET, least one of the coefficients must non-zero. So, H0:bSM= bMOM = 0 anHbSMB ≠ 0 anor bMOM ≠ 0.We use the F-statistiwhere with q = 2 ann – k – 1 = 90 grees of freem. The test is one-taile right si,with α = 1%, so the criticF-value is 4.849.Mol 1 es not inclu SMB anMOM, so it is the restrictemol. Mol3 inclus all of the variables of Mol 1 well SMB anMOM, so it is the unrestrictemol.Using ta in Exhibit 1 anExhibit 3, the joint F-statistic is calculateasSin8.863 4.849, we rejeH0. Thus, SMB anMOM together contribute to the explanation of RET in Mol 3 a 1% significanlevel. 95 sample - k - 1 = 95-3-1= 91为什么是90呢？