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长颈鹿大姐 · 2020年06月12日

问一道题:NO.PZ2015120204000012

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.

选项A为什么是对的呢

兔小兔 · 2020年06月12日

A不是错的么 t太大了 拒绝原假设

1 个答案

星星_品职助教 · 2020年06月12日

同学你好,

本题 intercept coefficient 所对应的的t-statistics(3.0275)大于了t临界值(≈1.96),所以这个时候要拒绝原假设,也就是结论是“significant”,A选项的描述是正确的。

题目要求选择“incorrect”的一项,不能选择A

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