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Darlene · 2024年03月31日

为什么log regression的b1=0.0075？这个表格整体不会读

  1. CFA II
  2. Quantitative

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NO.PZ202304050200003401

问题如下：

Based on Exhibit 1, the predicted WTI oil price for September 2015 using the log-linear trend model is closest to:

选项：

A.

$29.75

B.

$29.98

C.

$116.50

解释：

September 2015 is the first month out of sample, or t = 182. So, the predicted value for September 2015 is calculated as follows: lnyt = 3.3929 + 0.0075(182)= 4.7579

yt= e4.7579 = $116.50

Therefore, the predicted WTI oil price for September 2015, based on the loglinear trend model, is $116.50.



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1 个答案

品职助教_七七 · 2024年04月01日

嗨，爱思考的PZer你好：


这个表格给出的是估计出来的系数，即表头的“Coefficient”。

Intercept为估计出的方程的截距项，也就是b0 cap；

t（Trend）为方程的自变量，对应的是估计出来的系数，也就是b1 cap。

所以，log-Linear下自变量t的系数就为0.0075.

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NO.PZ202304050200003401 问题如下 Baseon Exhibit 1, the precteWTI oil priforSeptember 2015 using the log-linetrenmol is closest to: A.$29.75 B.$29.98 C.$116.50 September 2015 is the first month out of sample, or t = 182. So, the prectevalue for September 2015 is calculatefollows: lnyt = 3.3929 + 0.0075(182)= 4.7579yt= e4.7579 = $116.50Therefore, the precteWTI oil prifor September 2015, baseon the loglinetrenmol, is $116.50. 为什么本题不考虑残差项的值？可以用42.86代入算出残差项，在求第182个月的概率

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NO.PZ202304050200003401问题如下 Baseon Exhibit 1, the precteWTI oil priforSeptember 2015 using the log-linetrenmol is closest to: A.$29.75B.$29.98C.$116.50 September 2015 is the first month out of sample, or t = 182. So, the prectevalue for September 2015 is calculatefollows: lnyt = 3.3929 + 0.0075(182)= 4.7579yt= e4.7579 = $116.50Therefore, the precteWTI oil prifor September 2015, baseon the loglinetrenmol, is $116.50. 统计月为何是182个月？

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