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kevinzhu · 2022年02月10日

不理解

  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).

Confidence Interval = Point Estimate +/- reliability factor * Standard error

1.题中没有用Point Estimate而是用了coefficient,理由？

2.如果H0=0，双尾；

如果H0≤0 or H0≥0, 单尾。

题目中如何判定是双尾？

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星星_品职助教 · 2022年02月11日

同学你好，

1）你提到的coefficient实际上是根据最小二乘法（OLS）对于系数的估计，即coefficient estimate。这就是point estimate。

2）这道题并不涉及假设检验，不存在H0和Ha。数量科目中所有的confidence interval都是双尾情况。

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