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Drink H · 2020年01月29日

问一道题:NO.PZ2020010801000037 [ FRM I ]

问题如下图:

答案中计算中的分母的(456-6)的6是怎么来的?

1 个答案

orange品职答疑助手 · 2020年02月06日

同学你好,这道题说的不是很清楚。这道题原来有三个explanatory variables(the leverage defined as the ratio of long-term debt to the book value of assets, a dummy variable for high yield, and a measure of the volatility of the profitability of the issuer),后来又新增了两个变量(the squared and cubic term.意思是二次项和三次项。但它没说清是哪个变量的二次项和三次项,这是本题没说清的地方)

按照这个思路,所以 k_U是5, 再减1,就是减6。

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NO.PZ2020010801000037 问题如下 You are interestein unrstanng the terminants of the yielspreof corporate bon above a maturity matchesovereign bon You inclu three explanatory variables: the leverage finethe ratio of long-term to the book value of assets, a mmy variable for high yiel ana measure of the volatility of the profitability of the issuer. You are interestein testing whether there are nonlineeffects of some of these variables, anso use a RESET test inclung both the squareancubic term. The R2R^2R2 of the originmol is 68.6%, anthe R2R^2R2 from the mol thinclus both aitionterms is 68.9%. You have 456 observations. Wh you conclu about the specification of the mol? The RESET test examines whether the two aitionexplanatory variables thsquareancubefittevalues have zero coefficients. It is implementeusing F-test:(0.689−0.6862)/(1−0.689456−6) F2,450(\frac{0.689-0.686}{2})/(\frac{1-0.689}{456-6})~F_{2,450}(20.689−0.686​)/(456−61−0.689​) F2,450​The F-test examines the fferenbetween the R2R^2R2 in the two mols. The criticvalue for F2,450F_{2,450}F2,450​ is 3.01 (F.INV. RT(0.05,2,450) in Excel). The value of the test statistic is 2.17, whiis less ththe criticvalue, anso the null ththe coefficient on the squareancubic terms is 0 is not rejecte 请老师翻译一下问题,没有读懂问题,谢谢老师

2023-06-01 07:04 1 · 回答

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2023-05-20 16:22 1 · 回答

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2023-01-08 09:27 1 · 回答

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2022-06-25 10:30 1 · 回答

NO.PZ2020010801000037老师,请问1、这个F 2,450从何而来。?​ 2、The value of the test statistic is 2.17, whiis less ththe criticvalue, anso the null ththe coefficient on the squareancubic terms is 0 is not rejecte落在接受域,所以拒绝新加入的两个变量前的系数=0?

2022-03-31 01:15 1 · 回答