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Anny SUN · 2021年02月26日

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:

A.

$29.75.

B.

$29.98.

C.

$116.50.

解释:

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

lnyt=b0+b1(tln{\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:

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

lnytln{\overset\wedge y}_t = 4.7579

yt{\overset\wedge y}_t = e4.7579 = $116.50

Therefore, the predicted WTI oil price for September 2015, based on the loglinear trend model, 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?
1 个答案

星星_品职助教 · 2021年02月27日

同学你好,

在Exhibit 1的第二行有提示:Regression statistics(t-statistics for coefficients are reported in parentheses)。

但要注意这并不是固定规律, 很多题目中括号里给出的可能是系数估计量对应的标准误,所以需要根据题干去具体判断。

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