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廖廖酱 · 2021年05月27日

No.PZ2015120204000026

NO.PZ2015120204000026

问题如下:

An analyst is addressing the following research topics: how investment fund characteristics affect fund total returns and whether stock and bond market returns explain the returns of a portfolio of utility shares run by the firm.

To explore the first topic, he uses the average annualized rate of return(in percent) of 555 large-cap US equity funds over the past five years. The independent variables are fund expense ratio, portfolio turnover, the natural logarithm of fund size, fund age, and three dummy variables.For the second topic, he establish whether bond market returns (proxied by returns of long-term US Treasuries) and stock market returns(proxied by returns of the S&P 500 Index) explain the returns of a portfolio of utility stocks being recommended to clients.

Whether he should have estimated the models using a probit or logit model instead of using a traditional regression analysis?

选项:

A.

Both should be estimated with probit or logit models.

B.

Neither should be estimated with probit or logit models.

C.

Only the first analysis should be done with probit or logit models.

解释:

Probit and logit models are used for models with qualitative dependent variables, such as models in which the dependent variable can have one of two discrete outcomes (i.e., 0 or 1). The analysis in the two exhibits are explaining security returns, which are continuous (not 0 or 1)variables.

老师请问下为什么第一个TOPIC不能用probit 的模型呢?

1 个答案
已采纳答案

星星_品职助教 · 2021年05月27日

同学你好,

“To explore the first topic, he uses the average annualized rate of return(in percent) of 555 large-cap US equity funds over the past five years”

Y变量是return,这是一个典型连续变量。只有二值变量才能用probit/logit model,例如是否bankrupt,是否outperform,是否default等。