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nanaluo · 2021年09月21日

请问这题里面的original model对应的是什么？

  1. FRM I
  2. Quantitative

NO.PZ2020010801000037

问题如下：

You are interested in understanding the determinants of the yield spread of corporate bonds above a maturity matched sovereign bond. You include three explanatory variables: the leverage defined as the ratio of long-term debt to the book value of assets, a dummy variable for high yield, and a measure of the volatility of the profitability of the issuer. You are interested in testing whether there are nonlinear effects of some of these variables, and so use a RESET test including both the squared and cubic term. The R2R^2 of the original model is 68.6%, and the R2R^2 from the model that includes both additional terms is 68.9%. You have 456 observations. What do you conclude about the specification of the model?

选项：

解释：

The RESET test examines whether the two additional explanatory variables that squared and cubed fitted values have zero coefficients. It is implemented using an F-test:

(0.689−0.6862)/(1−0.689456−6) F2,450(\frac{0.689-0.686}{2})/(\frac{1-0.689}{456-6})~F_{2,450}

The F-test examines the difference between the R2R^2 in the two models. The critical value for an F2,450F_{2,450} is 3.01 (F.INV. RT(0.05,2,450) in Excel). The value of the test statistic is 2.17, which is less than the critical value, and so the null that the coefficient on the squared and cubic terms is 0 is not rejected.

请问这题里面的original model对应的是什么？model that includes two additional terms为什么不是unrestricted model？

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已采纳答案

DD仔_品职助教 · 2021年09月21日

嗨，从没放弃的小努力你好：


同学你好~

1）题目说：想要做一个回归，关于公司债券与相同期限主权债券的spread的决定因素。 这个回归包括三个解释变量：杠杆（长期债务与资产账面价值的比率）、高收益虚拟变量、发行人盈利能力的波动。 同时还想测试一下其中一些变量是否存在非线性关系，因此请使用包含平方项和三次项的 RESET 测试。

那么根据题目叙述，original model就是这个包含了：杠杆（长期债务与资产账面价值的比率）、高收益虚拟变量、发行人盈利能力的波动三个解释变量的模型。


2）model that includes two additional terms它就是unrestricted model呀

原模型的回归方程可以写为：y=a+β1*X1+β2*X2+β3*X3

包含两个附加项的模型可以写为：y=a+β1*X1+β2*X2+β3*X3+β4*X4+β5*X5

那么这俩模型相比，原来的模型其实就是新模型给出来了两个限制：β4=0且β5=0

所以新的加了俩自变量的是unrestricted

原来的是restricted

F值的计算如下图：

题目答案写的是：

RU2用的就是新模型的R2的数值

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就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

DD仔_品职助教 · 2021年09月21日

嗨，爱思考的PZer你好：


----------------------------------------------
努力的时光都是限量版，加油！

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