NO.PZ2023040502000013
问题如下:
The following exhibit is the results of a regression
of the monthly return for an electric utility equity index for the previous 203
months (the dependent variable) against the monthly returns for the S&P 500
Index and the difference between the monthly returns on long-term U.S.
government bonds and one-month U.S. Treasury bills (SPREAD) (the two
independent variables).
Hamilton wants to test the null hypothesis that the
coefficient on SPREAD is equal to 1 against the alternative hypothesis that it
is not equal to 1. Based on the results in Exhibit 1, the value of the test
statistic relating to Hamilton’s null hypothesis about the value of the coefficient
on SPREAD is closest to:
选项:
A.
4.28
B.
0.24
C.
0.11
解释:
The null hypothesis is H0: bspread= 1.
The calculated value of the t-statistic is t = (1.0264 – 1.0)/standard
error.
The standard error is 1.0264/4.28 = 0.24.
The calculated value for t
= (1.0264 – 1.0)/0.24 = 0.11.
这里的st error为什么不是开根n分之一