开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

manman · 2023年10月05日

怎么我看答案和提问都说0.563就是不显著，没明白其中的逻辑关系

  1. CFA II
  2. Quantitative

* 问题详情，请 查看题干

NO.PZ202208220100000405

问题如下：

Determine using Exhibit 2 which one of the following statements is most likely to be correct. Monthly seasonality in the firm’s portfolio is________.

选项：

A.highly likely

B.highly unlikely

C.not able to be determined from the given data

解释：

B is correct. Monthly seasonality in the firm’s portfolio is highly unlikely. Thevariance explained by the model (R-squared) is only 10.3%, and after adjusting forthe number of independent variables (adjusted R-squared), it becomes negative.Also, the insignificant F-statistic indicates a 56.3% chance that all variable coefficients are zero. Finally, t-statistics and associated p-values indicate that all thevariable coefficients are insignificant (i.e., not significantly different from zero).Consequently, monthly seasonality is highly unlikely to exist in this portfolio.

F检验的critical value和test statistic在这道题是多少，怎么我看答案和提问都说0.563就是不显著，没明白其中的逻辑关系

添加评论
1 个答案

星星_品职助教 · 2023年10月08日

同学你好，

本题直接给出了F检验的p-value（即significance of F=0.563），不需要去看critical value和test statistic。

由于significance of F / p-value=0.563，所以无法拒绝 方程所有系数都同时等于0 的原假设（除非significance level设到56.3%以上，这种情况不会出现，一般significance level都为1%、5%、10%等较低的值）。也就是F检验不显著，所有X变量的系数同时为0.

  • 1

    回答

  • 2

    关注

  • 326

    浏览
相关问题

NO.PZ202208220100000405 问题如下 termine using Exhibit 2 whione of the following statements is most likely to correct. Monthly seasonality in the firm’s portfolio is________. A.highly likely B.highly unlikely C.not able to terminefrom the given t B is correct. Monthly seasonality in the firm’s portfolio is highly unlikely. Thevarianexplainethe mol (R-square is only 10.3%, anafter austing forthe number of inpennt variables (austeR-square, it becomes negative.Also, the insignificant F-statistic incates a 56.3% chanthall variable coefficients are zero. Finally, t-statistianassociatep-values incate thall thevariable coefficients are insignificant (i.e., not significantly fferent from zero).Consequently, monthly seasonality is highly unlikely to exist in this portfolio. 所以只要说significant F 就是 F的p value 就和significanlevel（e.g. 5%）比较就可以了？

2024-07-14 01:51 1 · 回答

NO.PZ202208220100000405问题如下 termine using Exhibit 2 whione of the following statements is most likely to correct. Monthly seasonality in the firm’s portfolio is________. A.highly likelyB.highly unlikelyC.not able to terminefrom the given tB is correct. Monthly seasonality in the firm’s portfolio is highly unlikely. Thevarianexplainethe mol (R-square is only 10.3%, anafter austing forthe number of inpennt variables (austeR-square, it becomes negative.Also, the insignificant F-statistic incates a 56.3% chanthall variable coefficients are zero. Finally, t-statistianassociatep-values incate thall thevariable coefficients are insignificant (i.e., not significantly fferent from zero).Consequently, monthly seasonality is highly unlikely to exist in this portfolio. F value =0.879， significant F 等于0.563，F 值落在临界值右边，不是应该要拒绝原假设吗

2023-10-22 23:31 1 · 回答

NO.PZ202208220100000405 问题如下 The CIO asks you to analyze one of the firm’s portfolios to intify influentioutliers thmight skewing regression results of its return ivers. For eaobservation, you calculate leverage, the stuntizeresial, anCook’s There are 96 observations antwo inpennt variables (k = 2), anthe criticalt-statistic is 2.63 a 1% significanlevel. Partiresults of your calculations areshown in Exhibit 1.Finally, you are taskewith investigating whether there is any monthly seasonality in the excess portfolio returns. You construa regression mol using mmy variables for the months; your regression statistianANOVA results are shown in Exhibit 2. termine using Exhibit 2 whione of the following statements is most likely to correct. Monthly seasonality in the firm’s portfolio is________. A.highly likely B.highly unlikely C.not able to terminefrom the given t B is correct. Monthly seasonality in the firm’s portfolio is highly unlikely. Thevarianexplainethe mol (R-square is only 10.3%, anafter austing forthe number of inpennt variables (austeR-square, it becomes negative.Also, the insignificant F-statistic incates a 56.3% chanthall variable coefficients are zero. Finally, t-statistianassociatep-values incate thall thevariable coefficients are insignificant (i.e., not significantly fferent from zero).Consequently, monthly seasonality is highly unlikely to exist in this portfolio. 请问这道题的讲解视频链接？

2023-09-24 17:40 3 · 回答

NO.PZ202208220100000405 问题如下 termine using Exhibit 2 whione of the following statements is most likely to correct. Monthly seasonality in the firm’s portfolio is________. A.highly likely B.highly unlikely C.not able to terminefrom the given t B is correct. Monthly seasonality in the firm’s portfolio is highly unlikely. Thevarianexplainethe mol (R-square is only 10.3%, anafter austing forthe number of inpennt variables (austeR-square, it becomes negative.Also, the insignificant F-statistic incates a 56.3% chanthall variable coefficients are zero. Finally, t-statistianassociatep-values incate thall thevariable coefficients are insignificant (i.e., not significantly fferent from zero).Consequently, monthly seasonality is highly unlikely to exist in this portfolio. 如题。

2023-03-21 22:20 1 · 回答