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月之流离 · 2021年02月02日

B选项可以解释一下吗？

  1. CFA II
  2. Quantitative

NO.PZ2015120204000012

问题如下：

Batten runs a regression analysis using Stellar monthly returns (248 months) 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.

B选项可以解释一下吗？

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1 个答案

星星_品职助教 · 2021年02月02日

同学你好，

B选项考察一元回归系数的定义：The estimated slope coefficient defines the sensitivity of Y to a change in X。即b1 cap（estimated slope coefficient）衡量的是the sensitivity of Y （也就是△Y）和 a change in X （也就是△X）之间的关系。

一元回归的公式为Y cap=b0 cap+b1 cap*X。根据图表可知（estimated） slope coefficient=-0.6486＜0。当b1 cap＜0时，若△X也小于0，则结合公式，可得此时的Y是增加的，即△Y＞0。

这就是B选项描述的结论。其中本题的X为 CPIENG， CPIENG declines即为△X＜0。所以B选项的描述正确，△Y＞0（ exhibit a positive return）

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相关问题

NO.PZ2015120204000012 In the month after the CPIENG clines, Stellar’s common stois expecteto exhibit a positive return. Viewein combination, the slope anintercept coefficients from Batten’s regression are not statistically significant the 0.05 level. C is correct. C is the correresponse, because it is a false statement. The slope anintercept are both statistically significant.可以证明Y变化量大于零，并不能说明Y大于零啊。您看我理解哪里有问题。谢谢

2021-08-19 05:32 1 · 回答

品职老师，请问这道题是不是可以这样理解。 首先，1) 确认假设H0=sample b1=0 2) 计算confinlevel: sample b1土t *Sb sample = -0.6486 土 1.96*0.2818 = （-1.2009， -0.096），因为样本很大假设服从Z分布，95%对应1.96. 3）计算t统计量=-2.301632，因为落在拒绝域，所以拒绝原假设，所以可以得出自变量对因变量显著影响。

2020-10-11 15:08 2 · 回答

A为什么是对的呢

2020-06-12 14:46 1 · 回答

In the month after the CPIENG clines, Stellar’s common stois expecteto exhibit a positive return. Viewein combination, the slope anintercept coefficients from Batten’s regression are not statistically significant the 0.05 level. C is correct. C is the correresponse, because it is a false statement. The slope anintercept are both statistically significant. Intercept为啥是significant？ T值3.0275挺大的啊

2020-04-13 20:20 2 · 回答