NO.PZ2020011101000037
问题如下:
If the skewness of an asset’s return is -0.2 and its kurtosis is 4, what is the value of a Jarque-Bera test statistic when T = 100? What if T = 1,000?
选项:
解释:
Using the formula of JB statistic
the value of the JB is 4.785 when T = 100 and 48.3 when T = 1000.
这道题sample size变成1000,JB变大很多,表示sample size越大,越更容易拒绝原假设?