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Alex · 2024年01月31日

请问 这一题计算出来的检验统计量-3.22，为什么不和表里Pre-offer price adjustment的检验结果作对比？

  1. CFA II
  2. Quantitative

* 问题详情，请 查看题干

NO.PZ201512020300000303

问题如下：

3.The most appropriate null hypothesis and the most appropriate conclusion regarding Hansen’s belief about the magnitude of the initial return relative to that of the pre-offer price adjustment (reflected by the coefficient bj) are:

选项：

Null Hypothesis
Conclusion about bj(0.05 Level of Significance)
A.
H0: bj=0.5
Reject H0
B.
H0: bj≥0.5
Fail to reject H0
C.
H0: bj≥0.5
Reject H0

解释：

C is correct.

To test Hansen’s belief about the direction and magnitude of the initial return, the test should be a one-tailed test. The alternative hypothesis is H1: bj<0.5b_j<0.5, and the null hypothesis is H0: bj≥0.5b_j\geq0.5. The correct test statistic is: t = (0.435-0.50)/0.0202 = -3.22, and the critical value of the t-statistic for a one-tailed test at the 0.05 level is -1.645. The test statistic is significant, and the null hypothesis can be rejected at the 0.05 level of significance.

请问 这一题计算出来的检验统计量-3.22，为什么不和表里Pre-offer price adjustment的检验结果21.53作对比？

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品职助教_七七 · 2024年01月31日

嗨，努力学习的PZer你好：


Exhibit 1中的t-statistic=21.53也是t统计量，t统计量不能和t统计量比。

t统计量只能和t critical value比。规则为 |t-statistic|＞|critical value|，则拒绝原假设

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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