问一道题：NO.PZ201709270100000402 第2小题 [ CFA II ]

* 问题详情，请查看题干

问题如下：

2. Based on Exhibit 1, the predicted WTI oil price for September 2015 using the log-linear trend model is closest to:

选项：

$29.75.

$29.98.

$116.50.

解释：

C is correct. The predicted value for period t from a log-linear trend is calculated as

$ln{\overset\wedge y}_t={\overset\wedge b}_0+{\overset\wedge b}_1(t$

September 2015 is the first month out of sample, or t = 182. So, the predicted value for September 2015 is calculated as follows:

$ln{\overset\wedge y}_t$ = 3.3929 + 0.0075(182)

$ln{\overset\wedge y}_t$ = 4.7579

${\overset\wedge y}_t$ = e^4.7579 = $116.50

Therefore, the predicted WTI oil price for September 2015, based on the loglinear trend model, is $116.50.

题干中intercept一行里面给出的括号里的数字是什么？

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1 个答案

星星_品职助教 · 2021年02月09日

同学你好，

intercept这一行和底下的t（trend）这一行中，括号给出的都是t统计量。t统计量在这道题里用不到。

图表第二行有提示：“t-statistics for coefficients are reported in parentheses”。

但这个不是规律，很多时候括号里给出的是系数估计量对应的标准误，所以需要根据题干去判断。

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NO.PZ201709270100000402 2. Baseon Exhibit 1, the precteWTI oil prifor September 2015 using the log-linetrenmol is closest to: $29.75. $29.98. $116.50. C is correct. The prectevalue for periot from a log-linetrenis calculatelny∧t=b∧0+b∧1(tln{\overset\wee y}_t={\overset\wee b}_0+{\overset\wee b}_1(tlny∧t=b∧0+b∧1(t September 2015 is the first month out of sample, or t = 182. So, the prectevalue for September 2015 is calculatefollows: lny∧tln{\overset\wee y}_tlny∧t= 3.3929 + 0.0075(182) lny∧tln{\overset\wee y}_tlny∧t = 4.7579 y∧t{\overset\wee y}_ty∧t = e4.7579 = $116.50 Therefore, the precteWTI oil prifor September 2015, baseon the loglinetrenmol, is $116.50. 为啥不是加error呢？= 3.3929 + 0.0075(182) + error

2021-10-09 00:10 1 · 回答

$29.98. $116.50. C is correct. The prectevalue for periot from a log-linetrenis calculatelny∧t=b∧0+b∧1(tln{\overset\wee y}_t={\overset\wee b}_0+{\overset\wee b}_1(tlny∧t=b∧0+b∧1(t September 2015 is the first month out of sample, or t = 182. So, the prectevalue for September 2015 is calculatefollows: lny∧tln{\overset\wee y}_tlny∧t= 3.3929 + 0.0075(182) lny∧tln{\overset\wee y}_tlny∧t = 4.7579 y∧t{\overset\wee y}_ty∧t = e4.7579 = $116.50 Therefore, the precteWTI oil prifor September 2015, baseon the loglinetrenmol, is $116.50. 想问一下表格中截距和斜率下面括号中的数字代表什么意思？

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这道题中，题干中linear和log linear括号里的数字代表什么意思啊？time series模型里面的slope（b1）是可以表述成trean

2018-01-07 10:14 2 · 回答

问一道题：NO.PZ201709270100000402 第2小题 [ CFA II ]

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