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mark · 2019年12月24日

问一道题:NO.PZ201512020300000901

* 问题详情,请 查看题干

问题如下:

Based on Exhibit 1, Olabudo should:

选项:

A.

conclude that the inflation predictions are unbiased.

B.

reject the null hypothesis that the slope coefficient equals 1.

C.

reject the null hypothesis that the intercept coefficient equals 0.

解释:

A is correct. If the consensus inflation forecast is unbiased, then the intercept, b0, should equal 0, and the slope coefficient, b1, should equal 1. The t-statistic for the intercept coefficient is 0.5351, which is less than the critical t-value of 2.0, so the intercept coefficient is not statistically different than 0. To test whether the slope coefficient equals 1, the t-statistic is calculated as: t=–1.0968

Because the absolute value of the t-statistic of –1.0968 is less than the critical t-value of 2.0, the slope coefficient is not statistically different than 1. Therefore, Olabudo can conclude that the inflation forecasts are unbiased.

请问-1.0968是怎么计算出来的?预测无偏为什么指截距等会0,斜率等于1?谢谢

1 个答案
已采纳答案

星星_品职助教 · 2019年12月24日

同学你好,

这里面的“unbiased”不是指之前学过的估计量的无偏性。而是根据题干给出的方程得出的。这道题写出用于预测的方程为:

Actual US CPI =b0 + b1 CPI consensus forecast

也就是要看通过预测得出的CPI和真实的CPI之间的关系。如果预测的CPI恰好等于真实CPI,就说明预测是无偏的。可以看出当b0=0,b1=1时,两者恰好相等。

所以其实相当于要做两个假设检验,第一个是H0: b0=0。从图上可以看出这时候t统计量为0.5351,小于critical value(tc=2),所以不能拒绝原假设(也可以简单理解为b0=0)

第二个是b1=1。计算出t统计量为 (0.983-1)/0.0155= - 1.0968,同样<2,无法拒绝原假设,也就是可以简单理解为b1=1。所以可以得出结论,预测的CPI等于真实的CPI,即预测值为真实值的无偏估计。加油



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NO.PZ201512020300000901 老师好 为啥 If the consensus inflation forecast is unbiase then the intercept, b0, shoulequ0, anthe slope coefficient, b1, shoulequ1. 这里该怎么理解?谢谢

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