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SkipperLin · 2020年03月04日

问一道题：NO.PZ2020010801000037

  1. FRM I
  2. Quantitative

问题如下：

You are interested in understanding the determinants of the yield spread of corporate bonds above a maturity matched sovereign bond. You include three 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. You are interested in testing whether there are nonlinear effects of some of these variables, and so use a RESET test including both the squared and cubic term. The R2R^2 of the original model is 68.6%, and the R2R^2 from the model that includes both additional terms is 68.9%. You have 456 observations. What do you conclude about the specification of the model?

选项：

解释：

The RESET test examines whether the two additional explanatory variables that squared and cubed fitted values have zero coefficients. It is implemented using an 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}

The F-test examines the difference between the R2R^2 in the two models. The critical value for an F2,450F_{2,450} is 3.01 (F.INV. RT(0.05,2,450) in Excel). The value of the test statistic is 2.17, which is less than the critical value, and so the null that the coefficient on the squared and cubic terms is 0 is not rejected.

为什么这里restricted model是original model

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1 个答案

品职答疑小助手雍 · 2020年03月04日

同学你好，这里只是考察RESET test，两个新增变量是否回归系数为零。

SkipperLin · 2020年03月04日

那可是公式不是用的R_unrestricted平方 - R_restricted平方的公式么 那这个这个题的公式用的是什么呢

品职答疑小助手雍 · 2020年03月05日

unrestricted模型是full的，restricted模型是假设null成立的（null成立就是两个新增变量的回归系数都为零，也就是不考虑这俩系数的原始模型）。可以参考讲义里这个公式前一页的null假设的描述。

SkipperLin · 2020年03月06日

那我根据您刚刚讲的 怎么对应哪个模型为restricted的呢

品职答疑小助手雍 · 2020年03月06日

这俩是一个模型，只是原版书用了RESET这个名字，它还要查F分布表的，所以只是讲义和原版书用的名字不一样。

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