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felitsa · 2019年01月30日

问一道题:NO.PZ2015120204000019 CFA II Quantitative

问题如下图:

    

选项:

A.

B.

C.

解释:


由这道题想请教一个更广的范围,这道题出现了滞后项,所以

1、只出现滞后项时,是不是obervation应该取n-1?

2、如果同时出现滞后项和非滞后项的自变量,n到底应该为n还是n-1呢?

2 个答案

菲菲_品职助教 · 2019年02月20日

同学你好,有431个样本数,就是有431个自变量的意思呀。

felitsa · 2019年02月20日

好的,我再多做做题理解一下问法,谢谢助教~

菲菲_品职助教 · 2019年02月23日

嗯嗯 这边概念会有点多 要细心看看小心搞混哦

菲菲_品职助教 · 2019年02月01日

同学你好,这道题目其实不算是滞后项,滞后项一般出现在时间序列模型中,而这道题考察的是多元回归。

所谓的滞后项,是对同一个变量而言的。

所以这题的样本量n就等于431.

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NO.PZ2015120204000019问题如下Excess stomarket returnt=a0+a1fault sprea-1+a2Term sprea-1+a3Pres party mmyt-1+etfault spreis equto the yielon Bbon minus the yielon Abon. Term spreis equto the yielon a 10-yeconstant-maturity US Treasury inx minus the yielon a 1-yeconstant-maturity US Treasury inx. Pres party mmy is equto 1 if the US Presint is a member of the mocratic Party an0 if a member of the RepublicParty.The regression is estimatewith 431 observations.Exhibit 1.Multiple Regression OutputExhibit 2. Table of the F-stribution (CriticValues for Right-HanTail Area Equto 0.05) Numerator: 1 annominator: 2 Is the regression mol a whole significant the 0.05 level?A.No, because the calculateF-statistic is less ththe criticvalue for F.B.Yes, because the calculateF-statistic is greater ththe criticvalue for F.C.Yes, because the calculateχ2 statistic is greater ththe criticvalue for χ2. B is correct.The F-test is useto termine if the regression mol a whole is significant.F = Mesquare regression (MSR) ÷ Mesquareerror (MSE)MSE = SSE/[n – (k + 1)] = 19,048 ÷ 427 = 44.60MSR = SSR/k = 1071 ÷ 3 = 357F = 357 ÷ 44.60 = 8.004The criticvalue for grees of freem of 3 an427 with α=0.05 (one-tail) is F = 2.63 from Exhibit 2. The calculateF is greater ththe criticvalue, anChiesa shoulrejethe null hypothesis thall regression coefficients are equto zero. 题目表格中的T统计是做什么用的?是怎样计算出来的?谢谢!

2024-06-24 14:14 1 · 回答

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2023-12-28 13:19 1 · 回答

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2023-02-02 13:47 1 · 回答

NO.PZ2015120204000019 Yes, because the calculateF-statistic is greater ththe criticvalue for F. Yes, because the calculateχ2 statistic is greater ththe criticvalue for χ2. B is correct. The F-test is useto termine if the regression mol a whole is significant. F = Mesquare regression (MSR) ÷ Mesquareerror (MSE) MSE = SSE/[n – (k + 1)] = 19,048 ÷ 427 = 44.60 MSR = SSR/k = 1071 ÷ 3 = 357 F = 357 ÷ 44.60 = 8.004 The criticvalue for grees of freem of 3 an427 with α=0.05 (one-tail) is F = 2.63 from Exhibit 2. The calculateF is greater ththe criticvalue, anChiesa shoulrejethe null hypothesis thall regression coefficients are equto zero. 老师没有找到题目中k=3

2022-07-03 23:13 1 · 回答

NO.PZ2015120204000019 老师 虽然F-statistic is greater ththe criticvalue ,但是不知道拒绝域在左边还是右边啊?

2021-05-04 15:17 1 · 回答