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wakaka · 2025年02月11日

关于C选项是否正确？

  1. CFA II
  2. Quantitative

* 问题详情，请 查看题干

NO.PZ202208300200000102

问题如下：

The results reported in Exhibit 1 are most accurately interpreted as indicating that:

选项：

A.the reported R2 is spurious. B.multicollinearity is not present. C.the regression coefficients have inflated standard errors.

解释：

Solution

B is correct. The pairwise correlation is low. The only case in which correlation between independent variables may be a reasonable indicator of multicollinearity occurs in a regression with exactly two independent variables, as is the case in this problem. Furthermore, the additional classic symptoms of multicollinearity (high R2 and significant F-statistic but not significant coefficients) are not present.

A is incorrect. Even in the face of multicollinearity, a regression may have a high R2.

C is incorrect. At least one coefficient (b2) is different from zero.

b1的t统计量计算出来是0.6, 落在接受域，不能拒绝原假设， 所以b1是不显著的。所以C选项是不是也是对的？麻烦老师帮忙解释下

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1 个答案

品职助教_七七 · 2025年02月12日

嗨，爱思考的PZer你好：


C选项说的是系数的standard error是不是被高估了。这和系数自身是否显著没有关系。

inflated standard error是多重共线性下会产生的情况，由于本题没有多重共线性，所以C这个结果也不会产生。

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