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notinhk · 2022年01月21日

请老师详细解释下做法和三个选项

  1. CFA I
  2. Quantitative

* 问题详情，请 查看题干

NO.PZ202106160300004501

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 one

C. reject the null hypothesis that the intercept coefficient equals zero

解释：

A is correct. We fail to reject the null hypothesis of a slope equal to one, and we fail to reject the null hypothesis of an intercept equal to zero. The test of the slope equal to 1.0 is t=0.9830−1.0000.0155=−1.09677t=\frac{{0.9830-1.000}}{{0.0155}}=-1.09677

The test of the intercept equal to 1.0 is t=0.0001−0.00000.00002=0.5000t=\frac{{0.0001-0.0000}}{{0.00002}}=0.5000

Therefore, we conclude that the forecasts are unbiased.

题目中已经给出的t数值0.5和 63.4194为什么不能直接用呢，具体代表什么呢？ 为什么和答案里我们自己算出来的不一样？
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1 个答案

星星_品职助教 · 2022年01月22日

同学你好，

0.5和 63.4194对应的都是系数为0时的t-statistic值。

0.5在选项C中使用，由于 |t-statistic|=0,.5＜|critical value|=2.002，所以不能拒绝原假设，C选项错误。

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B选项检验的是b1是否等于1，这需要重新计算t-statistic，代入公式可得 （0.9830-1）/ 0.0155= - 1.0968，绝对值同样小于critical value的绝对值2.002，也不能拒绝原假设。

-----

根据题干提示“If the consensus forecasts are unbiased, the intercept should be 0.0 and the slope will be equal to 1.0.”

由于不能拒绝intercept=0，也不能拒绝slope=1，可知方程满足上述条件，为unbiased，选择A选项。

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NO.PZ202106160300004501 问题如下 Baseon Exhibit 1, Olabu shoul A.conclu ththe inflation prections are unbiase B.rejethe null hypothesis ththe slope coefficient equals one C.rejethe null hypothesis ththe intercept coefficient equals zero A is correct. We fail to rejethe null hypothesis of a slope equto one, anwe fail to rejethe null hypothesis of intercept equto zero. The test of the slope equto 1.0 is t=0.9830−1.0000.0155=−1.09677t=\frac{{0.9830-1.000}}{{0.0155}}=-1.09677t=0.01550.9830−1.000​=−1.09677 The test of the intercept equto 1.0 is t=0.0001−0.00000.00002=0.5000t=\frac{{0.0001-0.0000}}{{0.00002}}=0.5000t=0.000020.0001−0.0000​=0.5000 Therefore, we conclu ththe forecasts are unbiase f the consensus forecasts are unbiase the intercept shoul0.0 anthe slope will equto 1.0.为什么不能直接和表中的数据对比却要计算t呢？

2023-06-30 23:54 1 · 回答

NO.PZ202106160300004501问题如下Baseon Exhibit 1, Olabu shoulA.conclu ththe inflation prections are unbiase.rejethe null hypothesis ththe slope coefficient equals oneC.rejethe null hypothesis ththe intercept coefficient equals zero A is correct. We fail to rejethe null hypothesis of a slope equto one, anwe fail to rejethe null hypothesis of intercept equto zero. The test of the slope equto 1.0 is t=0.9830−1.0000.0155=−1.09677t=\frac{{0.9830-1.000}}{{0.0155}}=-1.09677t=0.01550.9830−1.000​=−1.09677 The test of the intercept equto 1.0 is t=0.0001−0.00000.00002=0.5000t=\frac{{0.0001-0.0000}}{{0.00002}}=0.5000t=0.000020.0001−0.0000​=0.5000 Therefore, we conclu ththe forecasts are unbiase 为什么这里的stanrerror 可以直接用而不用除以根号n？

2023-05-28 21:28 1 · 回答