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傅佳丽Diana · 2020年01月19日

问一道题:NO.PZ2015120204000015

问题如下:

Based on past research, Hansen selects the following independent variables to predict IPO initial returns:

Underwriter rank = 1–10, where 10 is highest rank

Pre-offer price adjustment (Expressed as a decimal) = (Offer price – Initial filing price)/Initial filing price

Offer size ($ millions) = Shares sold × Offer price

Fraction retained (Expressed as a decimal) = Fraction of total company shares retained by insiders

He also believes that for each 1 percent increase in pre-offer price adjustment, the initial return will increase by less than 0.5 percent, holding other variables constant. Hansen wishes to test this hypothesis at the 0.05 level of significance.

Hansen collects a sample of 1,725 recent IPOs for his regression model.

\Hansen’s Regression Results Dependent Variable: IPO Initial Return (Expressed in Decimal Form, i.e., 1% = 0.01)

Selected Values for the t-Distribution (df = ∞)

The most appropriate null hypothesis and the most appropriate conclusion regarding Hansen’s belief about the magnitude of the initial return relative to that of the pre-offer price adjustment (reflected by the coefficient bj) are:

选项:

Null Hypothesis
Conclusion about bj(0.05 Level of Significance)
A.
H0: bj=0.5
Reject H0
B.
H0: bj≥0.5
Fail to reject H0
C.
H0: bj≥0.5
Reject H0

解释:

C is correct.

C To test Hansen’s belief about the direction and magnitude of the initial return, the test should be a one-tailed test. The alternative hypothesis is H1: bj<0.5b_j<0.5, and the null hypothesis is H0:bj0.5b_j\geq0.5 . The correct test statistic is: t = (0.435-0.50)/0.0202 = -3.22, and the critical value of the t-statistic for a one-tailed test at the 0.05 level is -1.645. The test statistic is significant, and the null hypothesis can be rejected at the 0.05 level of significance.

请问怎么判断题目需要用单尾还是双尾

1 个答案

星星_品职助教 · 2020年01月19日

同学你好,

可以看备择假设,例如H1: b1>0,就说明拒绝域在右,单尾。但如果H1: b1≠0,则双尾,拒绝域在两侧。这部分内容可以参考二级数量刚开始的时候对于一级内容的review

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