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小锦鲤要加油 · 2020年04月13日

问一道题:NO.PZ2015120204000012 [ CFA II ]

问题如下:

Batten runs a regression analysis using Stellar monthly returns as the dependent variable and the monthly change in CPIENG (US Consumer Price Index for Energy) as the independent variable.

For the analysis run by Batten, which of the following is an incorrect conclusion from the regression output?

选项:

A.

The estimated intercept coefficient from Batten’s regression is statistically significant at the 0.05 level.

B.

In the month after the CPIENG declines, Stellar’s common stock is expected to exhibit a positive return.

C.

Viewed in combination, the slope and intercept coefficients from Batten’s regression are not statistically significant at the 0.05 level.

解释:

C is correct.

C is the correct response, because it is a false statement. The slope and intercept are both statistically significant.

Intercept为啥是significant? T值3.0275挺大的啊

2 个答案

星星_品职助教 · 2021年03月25日

@北斗

对的,可以直接记忆“significant = 拒绝原假设”这个等式

星星_品职助教 · 2020年04月13日

同学你好,

这个是回归系数的t检验,如果t统计量大,大于了critical value,是要拒绝原假设的。拒绝原假设的描述就是significant。全称是significant different from 0。所以A选项的说法是正确的。题目要求选不正确的一项,不能选A。

北斗 · 2021年03月25日

significant = 拒绝原假设 = 得到了期待的结果