开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

中了张 · 2020年03月16日

问一道题：NO.PZ2015120204000022

  1. CFA II
  2. Quantitative

问题如下：

lExcess stock market returnt=a0+a1Default spreadt−1 +a2Term spreadt−1 +a3Pres party dummyt−1 +e{l}Excess\text{ }stock\text{ }market\text{ }return_t\\=a_0+a_1Default\text{ }spread_{t-1}\text{ }+a_2Term\text{ }spread_{t-1}\text{ }+a_3Pres\text{ }party\text{ }dummy_{t-1}\text{ }+e

Default spread is equal to the yield on Baa bonds minus the yield on Aaa bonds. Term spread is equal to the yield on a 10-year constant-maturity US Treasury index minus the yield on a 1-year constant-maturity US Treasury index. Pres party dummy is equal to 1 if the US President is a member of the Democratic Party and 0 if a member of the Republican Party.

The regression is estimated with 431 observations.

Exhibit 1.Multiple Regression Output

Exhibit 2. Table of the Student’s t-Distribution (One-Tailed Probabilities for df = ∞)

The 95 percent confidence interval for the regression coefficient for the default spread is closest to:

选项：

A.

0.13 to 5.95.

B.

1.72 to 4.36.

C.

1.93 to 4.15.

解释：

B is correct.

The confidence interval is computed as a1±s(a1)×(95%,∞)a_1\pm s(a_1)\times(95\%,\infty). From Exhibit 1, a1 = 3.04 and t(a1) = 4.52, resulting in a standard error of a1 = s(a1) = 3.04/4.52 = 0.673. The critical value for t from Exhibit 3 is 1.96 for p = 0.025. The confidence interval for a1 is 3.04 ± 0.673 × 1.96 = 3.04 ± 1.31908 or from 1.72092 to 4.35908.

老师您好，有两个问题麻烦解答一下：1、题目中给了单尾的表，实际上本题的检验是双尾的呢？2、关于单尾和双尾检验，我理解跟您在前几个问题答复中解释的恰好是反的。。。单尾检验的话，拒绝域在一个尾巴上的话，中间面积95%，那查表时不应该是使用α按照5%来查表的么，因为只有一个尾巴。而相反双尾的话，中间区域面积是95%，查表时用α/2按照2.5%来查。麻烦您帮捋一下，感谢🙏

添加评论
1 个答案

星星_品职助教 · 2020年03月17日

同学你好，

1. 本题是求置信区间，而不是假设检验。置信区间是跟双尾的t值直接对应的，但双尾的t临界值和单尾的t临界值是有对应关系的，双尾5%的临界值就相当于单尾2.5%的临界值

2. 单尾检验不存在“中间面积”的概念，例如右尾5%，一定是左侧（包括左尾在内）所有的面积一共是95%，不可能单出来一个中间面积，这个时候左尾不是空出来的。如果是置信区间，则一定是个“中间面积”的概念，即左右都有尾巴（拒绝域）

  • 1

    回答

  • 2

    关注

  • 449

    浏览
相关问题

NO.PZ2015120204000022 1.72 to 4.36. 1.93 to 4.15. B is correct. The confinintervis computea1±s(a1)×(95%,∞)a_1\pm s(a_1)\times(95\%,\infty)a1​±s(a1​)×(95%,∞). From Exhibit 1, = 3.04 ant(a1) = 4.52, resulting in a stanrerror of = s(a1) = 3.04/4.52 = 0.673. The criticvalue for t from Exhibit 3 is 1.96 for p = 0.025. The confinintervfor is 3.04 ± 0.673 × 1.96 = 3.04 ± 1.31908 or from 1.72092 to 4.35908.老师请问stanrerror为什么是3.04\4.52 ? 谢谢

2022-07-03 22:35 1 · 回答

NO.PZ2015120204000022问题如下lExcess stock market returnt=a0+a1fault sprea−1 +a2Term sprea−1 +a3Pres party mmyt−1 +e{l}Excess\text{ }stock\text{ }market\text{ }return_t\\=a_0+a_1fault\text{ }sprea{t-1}\text{ }+a_2Term\text{ }sprea{t-1}\text{ }+a_3Pres\text{ }party\text{ }mmy_{t-1}\text{ }+elExcess stock market returnt​=a0​+a1​fault sprea−1​ +a2​Term sprea−1​ +a3​Pres party mmyt−1​ +efault 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 Stunt’s t-stribution (One-TaileProbabilities for = ∞)The 95 percent confinintervfor the regression coefficient for the fault spreis closest to:A.0.13 to 5.95.B.1.72 to 4.36.C.1.93 to 4.15.B is correct.The confinintervis computea1±s(a1)×(95%,∞)a_1\pm s(a_1)\times(95\%,\infty)a1​±s(a1​)×(95%,∞). From Exhibit 1, = 3.04 ant(a1) = 4.52, resulting in a stanrerror of = s(a1) = 3.04/4.52 = 0.673. The criticvalue for t from Exhibit 3 is 1.96 for p = 0.025. The confinintervfor is 3.04 ± 0.673 × 1.96 = 3.04 ± 1.31908 or from 1.72092 to 4.35908.题目显示为one-tail，则95%confinlevel应该对应的p是0.05、t是1.645，否则选0.025为双尾与表格不符，是否应为C

2022-05-19 17:26 1 · 回答

NO.PZ2015120204000022 1.72 to 4.36. 1.93 to 4.15. B is correct. The confinintervis computea1±s(a1)×(95%,∞)a_1\pm s(a_1)\times(95\%,\infty)a1​±s(a1​)×(95%,∞). From Exhibit 1, = 3.04 ant(a1) = 4.52, resulting in a stanrerror of = s(a1) = 3.04/4.52 = 0.673. The criticvalue for t from Exhibit 3 is 1.96 for p = 0.025. The confinintervfor is 3.04 ± 0.673 × 1.96 = 3.04 ± 1.31908 or from 1.72092 to 4.35908. 老师，请问有什么好一点的办法判断什么时候用单尾，什么时候用双尾吗？做题的时候纠结了一下该用5%（单尾）还是2.5%（双尾）对应的criticvalue

2022-03-12 11:46 1 · 回答

NO.PZ2015120204000022 具体对应的有可以背的数据么

2021-11-12 16:17 3 · 回答

NO.PZ2015120204000022 1.72 to 4.36. 1.93 to 4.15. B is correct. The confinintervis computea1±s(a1)×(95%,∞)a_1\pm s(a_1)\times(95\%,\infty)a1​±s(a1​)×(95%,∞). From Exhibit 1, = 3.04 ant(a1) = 4.52, resulting in a stanrerror of = s(a1) = 3.04/4.52 = 0.673. The criticvalue for t from Exhibit 3 is 1.96 for p = 0.025. The confinintervfor is 3.04 ± 0.673 × 1.96 = 3.04 ± 1.31908 or from 1.72092 to 4.35908. 表一中，P值得作用是什么呢？不太明白为什么要用3.04/t-sta值，来计算。

2021-02-15 12:08 1 · 回答