。。 · 2025年06月25日
NO.PZ2024120401000033
问题如下：
A log-linear trend model is also estimated on annual euroarea GDP from 1995 until 2018. The estimated model is :
and the estimated standard deviation of εt is 0.0322. Assuming that the shocks are normally distributed, what is the point forecast of GDP for the next year?
选项：
A.
9.308
B.
9.336
C.
11031.4
D.
11186.9
解释：
In this case:
Calculating E[ln RGDPt]:
Furthermore,
不太清楚这里应该用谁的平方
李坏_品职助教 · 2025年06月26日
嗨，从没放弃的小努力你好：
这道题他是log-linear trend model ，不是普通的linear trend model。
根据FRM一级quant原版书的讲解，对于log linear model，lnYt是服从正态分布，而Yt本身是服从对数正态分布。 并且根据教材对log model的叙述，Y的方差是直接用的σ^2，也就是残差（shock）的方差。
对数正态分布的Expected value(也就是point forecast)应该是exp(δ0 + δ1*T + σ^2 / 2)，可以参考基础班讲义P98：
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虽然现在很辛苦，但努力过的感觉真的很好，加油！
NO.PZ2024120401000033问题如下 A log-linetrenmol is also estimateon annueuroarea G from 1995 until 2018. The estimatemol is :anthe estimatestanrviation of εt is 0.0322. Assuming ththe shocks are normally stribute whis the point forecast of G for the next year? A.9.308B.9.336C.11031.411186.9 In this case: Calculating E[ln RGt]:Furthermore, 有点没看懂，考的知识点是哪个？
NO.PZ2024120401000033问题如下 A log-linetrenmol is also estimateon annueuroarea G from 1995 until 2018. The estimatemol is :anthe estimatestanrviation of εt is 0.0322. Assuming ththe shocks are normally stribute whis the point forecast of G for the next year? A.9.308B.9.336C.11031.411186.9 In this case: Calculating E[ln RGt]:Furthermore, 这里残差的平方为什么是这个用法？
