开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

Yuanzi · 2021年10月23日

问一道题:NO.PZ201512020300000901 第1小题 [ CFA II ]

* 问题详情,请 查看题干

问题如下:

Based on Exhibit 1, Olabudo should:

选项:

A.

conclude that the inflation predictions are unbiased.

B.

reject the null hypothesis that the slope coefficient equals 1.

C.

reject the null hypothesis that the intercept coefficient equals 0.

解释:

A is correct. If the consensus inflation forecast is unbiased, then the intercept, b0, should equal 0, and the slope coefficient, b1, should equal 1. The t-statistic for the intercept coefficient is 0.5351, which is less than the critical t-value of 2.0, so the intercept coefficient is not statistically different than 0. To test whether the slope coefficient equals 1, the t-statistic is calculated as: t=–1.0968

Because the absolute value of the t-statistic of –1.0968 is less than the critical t-value of 2.0, the slope coefficient is not statistically different than 1. Therefore, Olabudo can conclude that the inflation forecasts are unbiased.

请问B是错在假设条件错了吗
1 个答案

星星_品职助教 · 2021年10月23日

同学你好,

B选项错在b1=1这个原假设是不能拒绝的,即答案解析中说的:“Because the absolute value of the t-statistic of –1.0968 is less than the critical t-value of 2.0, the slope coefficient is NOT statistically different than 1”,所以说反了。