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Yan · 2021年08月01日

题目没看懂

  1. FRM I
  2. Quantitative

NO.PZ2018122801000062

问题如下：

For a sample of 400 firms, the relationship between corporate revenue (Yi) and the average years of experience per employee (Xi) is modeled as follows:

Y i = β 1 + β 2 X i + ε i ,i=1,2,...,400  

You wish to test the joint null hypothesis that at the 95% confidence level. The p-value for the t-statistic for β1 is 0.07, and the p-value for the t-statistic for β2 is 0.06. The p-value for the F-statistic for the regression is 0.045. Which of the following statements is correct?

选项：

A.

You can reject the null hypothesis because each β is different from 0 at the 95% confidence level.

B.

You cannot reject the null hypothesis because neither β is different from 0 at the 95% confidence level.

C.

You can reject the null hypothesis because the F-statistic is significant at the 95% confidence level.

D.

You cannot reject the null hypothesis because the F-statistic is not significant at the 95% confidence level.

解释：

C is correct.

考点 ： Regression Coefficient Confidence Interval and Significance test

解析 ： The T-test would not be sufficient to test the joint hypothesis. In order to test the joint null hypothesis, examine the F-statistic, which in this case is statistically significant at the 95% confidence level. Thus, the null can be rejected.

麻烦写一下具体解题思路

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1 个答案

品职答疑小助手雍 · 2021年08月01日

嗨，从没放弃的小努力你好：


题目可能有个公式没显示出来，不过看题目意思就是做了个二元的线性回归，然后对每个系数进行了t检验，对回归整体做了f检验，得出了检验的pvalue。

因为是95%的confidence level做判断，所以根据pvalue 大于还是小于0.05判断，t检验都通过了，f检验小于0.05没通过，因此H0：b1=b2=0被拒绝了。


我觉得你提问的几道题都是基础知识类的问题，建议认真听一下基础班，如果听过了基础班的话可能没有完全理解知识点，听课的时候不要追求倍速，把知识点学扎实。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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