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小王爱学习 · 2022年01月20日

请问这里考察的是哪个公式？

  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.

这里考察的是什么公式？答案的公示没看懂

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2 个答案

DD仔_品职助教 · 2022年01月20日

嗨，爱思考的PZer你好：


这个公式在基础班讲义的213页，同学可以翻一下讲义，这是关于restricted model的检验，这部分还挺重要的，公式要掌握。

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DD仔_品职助教 · 2022年01月20日

嗨，努力学习的PZer你好：


同学你好，考察的是F stat的计算公式（如下图）：

RU^2=0.689

RR^2=0.686

q=2

n=456

k=5（一共5个自变量）

带入数字即可


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