NO.PZ2022062760000013
问题如下：
An analyst is testing a hypothesis that the beta, 𝛽, of stock CDM is 1. The analyst runs an ordinary least squares
regression of the monthly returns of CDM, RCDM, on the monthly returns of the S&P 500 Index, Rm, and obtains
the following relation:
The analyst also observes that the standard error of the coefficient of Rm is 0.80. In order to test the
hypothesis H0: 𝛽 = 1 against H1: 𝛽 ≠ 1, what is the correct statistic to calculate?
选项：
A.t-statistic
Chi-squared test statistic
Jarque-Bera test statistic
Sum of squared residuals
解释：
中文解析：
t检验值：
因为 t<1.96，所以不能拒绝原假设。
The correct test answer is A.
The t-statistic is defined by
In this case t = -0.175. Since |t| < 1.96 we cannot reject the null hypothesis.
1.96是哪儿里得来的？
