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aaronlee · 2022年01月09日

请问这个是运用Prediction Interval计算公式吗

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NO.PZ202106160300004405

问题如下:

Using information from Exhibit 2, the 99% prediction interval for Amtex share return for Month 37 is best described as:

选项:

A.Y^f{\hat Y_f} ±0.0053 B.Y^f{\hat Y_f} ±0.0459 C.Y^f{\hat Y_f} ±0.1279

解释:

C is correct. The predicted share return is 0.0095 + 10.2354 × (-0.01)=0.0071. The lower limit for the prediction interval is 0.0071-(2.728 × 0.0469)=-0.1208, and the upper limit for the prediction interval is 0.0071 + (2.728 × 0.0469) = 0.1350.

A is incorrect because the bounds of the interval should be based on the standard error of the forecast and the critical t-value, not on the mean of the dependent variable.

B is incorrect because bounds of the interval are based on the product of the standard error of the forecast and the critical t-value, not simply the standard error of the forecast.

请问这个是运用Prediction Interval计算公式吗

1 个答案
已采纳答案

星星_品职助教 · 2022年01月10日

同学你好,

是的,用的是截图的公式。代入Yf ± 2.728 × 0.0469即可


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NO.PZ202106160300004405 问题如下 Elena Vasileva recently joineEnergyInvest a junior portfolio analyst. Vasileva's supervisor asks her to evaluate a potentiinvestment opportunity in Amtex, a multinationoil angcorporation basein the UniteStates. Vasileva's supervisor suggests using regression analysis to examine the relation between Amtex shares anreturns on cru oil. Vasileva notes the following assumptions of regression analysis: Assumption 1 The error term is uncorrelateacross observations. Assumption 2 The varianof the error term is the same for all observations. Assumption 3 The pennt variable is normally stribute Vasileva runs a regression of Amtex share returns on cru oil returns using the monthly ta she collecte Selecteta usein the regression are presentein Exhibit 1, anselecteregression output is presentein Exhibit 2. She uses a 1% level of significanin all her tests. Critict-values for a 1% level of significance: One-si left si: -2.441 One-si right si: +2.441 Two-si ±2.728 Vasileva expects the cru oil return next month, Month 37, to -0.01. She computes the stanrerror of the forecast to 0.0469. Using information from Exhibit 2, the 99% prection intervfor Amtex share return for Month 37 is best scribeas: A.Y^f{\hY_f}Y^f​ ±0.0053 B.Y^f{\hY_f}Y^f​ ±0.0459 C.Y^f{\hY_f}Y^f​ ±0.1279 C is correct. The precteshare return is 0.0095 + 0.2354 × (-0.01)=0.0071. The lower limit for the prection intervis 0.0071-(2.728 × 0.0469)=-0.1208, anthe upper limit for the prection intervis 0.0071 + (2.728 × 0.0469) = 0.1350.A is incorrebecause the boun of the intervshoulbaseon the stanrerror of the forecast anthe critict-value, not on the meof the pennt variable.B is incorrebecause boun of the intervare baseon the proof the stanrerror of the forecast anthe critict-value, not simply the stanrerror of the forecast. 我知道只有用中心极限定理的时候才要除,但我现在判断不了什么时候用什么时候不用了

2023-10-21 20:55 1 · 回答