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antheac · 2021年03月28日

能不能总结一下正态分布不同阿尔法对应的 critical value啊，

  1. CFA II
  2. Quantitative

NO.PZ2015120204000014

问题如下：

Based on past research, Hansen selects the following independent variables to predict IPO initial returns:

Underwriter rank = 1–10, where 10 is highest rank

Pre-offer price adjustment (Expressed as a decimal) = (Offer price – Initial filing price)/Initial filing price

Offer size ($ millions) = Shares sold × Offer price

Fraction retained (Expressed as a decimal) = Fraction of total company shares retained by insiders

Hansen collects a sample of 1,725 recent IPOs for his regression model.

\Hansen’s Regression Results Dependent Variable: IPO Initial Return (Expressed in Decimal Form, i.e., 1% = 0.01)

The 95 percent confidence interval for the regression coefficient for the pre-offer price adjustment is closest to:

选项：

A.

0.156 to 0.714.

B.

0.395 to 0.475.

C.

0.402 to 0.468.

解释：

B is correct.

The 95% confidence interval is 0.435 ± (0.0202 × 1.96) = (0.395, 0.475).

还有t分布，z分布这些对应的critical value不同吗， 需要背过的又那些， 这部分一直比较混乱

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星星_品职助教 · 2021年03月28日

同学你好，

数量科目里，正态分布下置信区间所对应的关键值为：

90%置信区间对应1.645（常用）

95%置信区间对应1.96.（常用）

99%置信区间对应2.58（用得少）

这组值是要求背诵的。

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

t分布的关键值和正态分布不同，需要根据具体的自由度查表，没有统一的规律。

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