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Stella · 2021年07月26日

请问probit的知识点在哪里

NO.PZ2015120204000027

问题如下:

Epstein asks Litvenko whether it is possible to identify companies that are likely to outperform the market in the next period rather than just trying to predict the return for a company.The most appropriate way to address the outperformance issue discussed by Epstein and Litvenko is to:

选项:

A.

use a probit model.

B.

add a dummy variable to the regression.

C.

replace one or more of the independent variables with its logarithmic transformation.

解释:

A is correct. A probit model is appropriate for a binary decision, such as whether a security is likely to outperform the market or not.

B is incorrect. A dummy variable is a qualitative independent variable. A model to classify outcomes as binary requires a qualitative dependent variable.

C is incorrect. A logarithmic transformation of an independent variable is appropriate when its relationship with the dependent variable is non-linear, but it will not change the form of the dependent variable to binary (outperforms or does not).


有点想不起来是在什么地方出现过,请老师明示
1 个答案

星星_品职助教 · 2021年07月26日

同学你好,

多元回归那章的最后讲了当Y为二元变量时的情况。这时候需要使用probit/logit模型。

大概在讲义的这个位置。