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世纪之龙5 · 2024年03月18日

描述3是什么

NO.PZ2016071602000008

问题如下:

A database of hedge fund returns is constructed as follows. The first year of the database is 1994. All funds existing as of the end of 1994 that a willing to report their verified returns for that year are included in that year. The database is extended by asking the funds for verified returns before 1994. Subsequently, funds are added as they are willing to report verified returns to the database. If a fund stops reporting returns, its returns are deleted from the database, but the database has an agreement with funds that they will keep reporting verified returns even if they stop being open to new investors. Which of the following four statements are correct?

I. The database suffers from backfilling bias.

II. The database suffers from survivorship bias.

III. The database suffers from an errors-in-variables bias.

IV. The equally weighted annual return average of fund returns will under-estimate the performance one would expect from a hedge fund.

选项:

A.

All the above statements are correct.

B.

Statements I and II are correct.

C.

Statements I, II, and III are correct.

D.

Statements II and IV are correct.

解释:

B is correct. The database includes histories before 1994 and therefore suffers from backfill bias. Next, funds that stop reporting are deleted from the database, so it has survivorship bias. Errors-in-variables bias arises in other contexts, such as regression. Finally, the average of fund returns will be too high (not too low) because of these two biases. Hence, I. and II. are correct.

如题

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已采纳答案

李坏_品职助教 · 2024年03月18日

嗨,爱思考的PZer你好:


III说的是errors-in-variables bias. 这个属于计量经济学的术语,意思是“变量测量误差”,当模型中的自变量X出现测量误差时,会影响OLS估计结果,使得模型不精确。所以这个主要是由于regression model带来的问题。题目中不涉及regression,所以III属于无关项。

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努力的时光都是限量版,加油!

世纪之龙5 · 2024年03月18日

变量测量误差就是指残差吗

李坏_品职助教 · 2024年03月19日

嗨,努力学习的PZer你好:


不是,指的是自变量本身的取值出现了重大错误,影响了模型的估计结果。

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

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