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天蝎独婧 · 2020年11月25日

问一道题:NO.PZ201512020300000901 第1小题 [ CFA II ]

* 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.

我想问一下这道题里的the absolute value of the critical value 为什么可以用,而书后习题中reading 4(25~30)里面的note:the critical value for one side t test at the 5%significance level is 1.691 就不能用? 有什么区别么
1 个答案

星星_品职助教 · 2020年11月25日

同学你好,

原版书有勘误,可以直接用的2.0是勘误以后的结果。

但即使不勘误,也不能用之前给的1.691,因为这是一个单尾5%对应的critical value(“ critical value for one side t test at the 5%significance level ”),而这道题的t检验是双尾检验。双尾检验下的5% significance level对应的是单尾2.5%的面积。所以如果要用单尾的t critical value,也只能用“ critical value for one side t test at the 2.5% significance level ”,不能用5%单尾的。

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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

2021-11-11 16:07 1 · 回答

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2021-10-23 00:47 1 · 回答

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2021-08-14 19:42 1 · 回答

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2021-06-03 17:35 1 · 回答