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410140980 · 2023年07月10日

Errors-in-variables bias

NO.PZ2016071602000008

问题如下:

A database of hedge fund returns is constructed as follows. The first year of the database is 1994. All funds existing as of the end of 1994 that a willing to report their verified returns for that year are included in that year. The database is extended by asking the funds for verified returns before 1994. Subsequently, funds are added as they are willing to report verified returns to the database. If a fund stops reporting returns, its returns are deleted from the database, but the database has an agreement with funds that they will keep reporting verified returns even if they stop being open to new investors. Which of the following four statements are correct?

I. The database suffers from backfilling bias.

II. The database suffers from survivorship bias.

III. The database suffers from an errors-in-variables bias.

IV. The equally weighted annual return average of fund returns will under-estimate the performance one would expect from a hedge fund.

选项:

A.

All the above statements are correct.

B.

Statements I and II are correct.

C.

Statements I, II, and III are correct.

D.

Statements II and IV are correct.

解释:

B is correct. The database includes histories before 1994 and therefore suffers from backfill bias. Next, funds that stop reporting are deleted from the database, so it has survivorship bias. Errors-in-variables bias arises in other contexts, such as regression. Finally, the average of fund returns will be too high (not too low) because of these two biases. Hence, I. and II. are correct.

老师这是什么偏差?

1 个答案

DD仔_品职助教 · 2023年07月11日

嗨,从没放弃的小努力你好:


同学你好,

errors-in-variables bias指的是变量偏差误差,也就是当变量的测量不精确时会产生的误差偏差。这种误差是客观存在的,就算说样本量很大,这种偏差不会消失。举个栗子,这个人1米2,测量成了1米9,这个误差就属于error in variables,就算样本量再大,也不会消失。

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努力的时光都是限量版,加油!

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