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ivyisabelle · 2020年01月09日

问一道题：NO.PZ201709270100000302

  1. CFA II
  2. Quantitative

* 问题详情，请 查看题干

问题如下：

2. At a significance level of 1%, which of the following is the best interpretation of the regression coefficients with regard to explaining ROE?

选项：

A.

ESG is significant, but tenure is not.

B.

Tenure is significant, but ESG is not.

C.

Neither ESG nor tenure is significant.

解释：

C is correct. The t-statistic for tenure is 2.308, indicating significance at the 0.027 level but not the 0.01 level. The t-statistic for ESG is 1.201, with a p-value of 0.238, which means we fail to reject the null hypothesis for ESG at the 0.01 significance level.

答案说The t-statistic for tenure is 2.308, indicating significance at the 0.027 level，请问，这个0.027level是怎么算出来的？


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1 个答案

星星_品职助教 · 2020年01月10日

同学你好，

0.027是表格中b2系数对应的p-value值，不需要算。答案中的t-statistics=2.308和p-value=0.027是等价的，原理是p-value对应的概率面积是0.027，而这个概率面积对应的横轴上的点就是2.308。以上是背景，这道题的判断方式是由于0.027即2.7%＞1%（α=1%），所以不能拒绝原假设。

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