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shero · 2024年06月20日

这个相对大和相对小也没有判断标准吧，我感觉A和C是不是不太好选

  1. CFA II
  2. Quantitative

NO.PZ2023040502000025

问题如下：

Given the information in Exhibit 1, Hamilton’sconclusion that multicollinearity is not a problem, is most likely based on theobservation that the:


选项：

A.

correlation between the S&P 500 and SPREAD is low.

B.

model F-value is high and the p-values for the S&P500 and SPREAD are low.

C.

model R2 is relatively low.

解释：

Multicollinearity occurs when two or more independentvariables (or combinations of independent variables) are highly (but not perfectly)correlated. Correlation between independent variables may be a reasonableindication of multicollinearity in cases in which the regression contains onlytwo independent variables. In Hamilton’s regression model, the correlationbetween the SPREAD and the S&P 500 variables is only 0.30.

​这个相对大和相对小也没有判断标准吧，我感觉A和C是不是不太好选

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品职助教_七七 · 2024年06月20日

嗨，努力学习的PZer你好：


如果只有C选项就不大好选，但correlation有一个常规的门槛值0.7，虽然不是严格数字，也能看出本题correlation=0.3明显是低的。可以判断不存在多重共线性。A选项可以直接选出来，是“most likely”的选项，就不用考虑C了。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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NO.PZ2023040502000025 问题如下 Given the information in Exhibit 1, Hamilton’sconclusion thmulticollinearity is not a problem, is most likely baseon theobservation ththe: A.correlation between the S P 500 anSPREis low. B.mol F-value is high anthe p-values for the S P500 anSPREare low. C.mol R2 is relatively low. Multicollinearity occurs when two or more inpenntvariables (or combinations of inpennt variables) are highly (but not perfectly)correlate Correlation between inpennt variables ma reasonableincation of multicollinearity in cases in whithe regression contains onlytwo inpennt variables. In Hamilton’s regression mol, the correlationbetween the SPREanthe S P 500 variables is only 0.30. R-square小，VIF小，小的VIF没有多重共线性啊。。。

2023-08-26 10:27 1 · 回答

NO.PZ2023040502000025 问题如下 Given the information in Exhibit 1, Hamilton’sconclusion thmulticollinearity is not a problem, is most likely baseon theobservation ththe: A.correlation between the S P 500 anSPREis low. B.mol F-value is high anthe p-values for the S P500 anSPREare low. C.mol R2 is relatively low. Multicollinearity occurs when two or more inpenntvariables (or combinations of inpennt variables) are highly (but not perfectly)correlate Correlation between inpennt variables ma reasonableincation of multicollinearity in cases in whithe regression contains onlytwo inpennt variables. In Hamilton’s regression mol, the correlationbetween the SPREanthe S P 500 variables is only 0.30. 根据定义法，当F检验通过，但是t检验通不过，R^2特别高的时候，证明存在多重共线性，上述条件不满足任何一个都无法证明多重共线性。所以是不是A、C也可以作为判断标准？还是说本题就是不严谨，就想考察相关系数法的判断？

2023-05-01 00:38 1 · 回答