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曾兰芝🍒 · 2021年02月18日

如何判断statistical significantly ..在拒绝区域上就是有意义的吗?

NO.PZ2017092702000132

问题如下:

An analyst tests the profitability of a trading strategy with the null hypothesis being that the average abnormal return before trading costs equals zero. The calculated t-statistic is 2.802, with critical values of ± 2.756 at significance level α = 0.01. After considering trading costs, the strategy’s return is near zero. The results are most likely:

选项:

A.

statistically but not economically significant.

B.

economically but not statistically significant.

C.

neither statistically nor economically significant.

解释:

A is correct.

The hypothesis is a two-tailed formulation. The t-statistic of 2.802 falls outside the critical rejection points of less than –2.756 and greater than 2.756, therefore the null hypothesis is rejected; the result is statistically significant. However, despite the statistical results, trying to profit on the strategy is not likely to be economically meaningful because the return is near zero after transaction costs

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1 个答案

星星_品职助教 · 2021年02月18日

同学你好,

significant(显著)和是否拒绝原假设的关系如下:

如果题干只问了是否是“significant”,没有具体的数字。那么此时就默认这是一个significance test,对应的原假设就是要检验的东西等于0(以本题为例,原假设就是H0:strategy's return=0。)

而“statistically significant”写全了就是statistically significant different from 0。意思是要检验的东西不为0.

所以看到"significant”就可以直接等同于“拒绝原假设”

-------------------------

由于本题的|test statistics|>|critical value|,即2.802>2.756。所以检验的结果是拒绝strategy's return=0的原假设,此时就是statistically significant。

说明strategy's return不为0,这个策略从统计学意义上来讲是值得去实施的。

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