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wuzx · 2022年02月16日

公式的q等于2

  1. FRM I
  2. Quantitative

NO.PZ2020010801000037

问题如下：

You are interested in understanding the determinants of the yield spread of corporate bonds above a maturity matched sovereign bond. You include three explanatory variables: the leverage defined as the ratio of long-term debt to the book value of assets, a dummy variable for high yield, and a measure of the volatility of the profitability of the issuer. You are interested in testing whether there are nonlinear effects of some of these variables, and so use a RESET test including both the squared and cubic term. The R2R^2 of the original model is 68.6%, and the R2R^2 from the model that includes both additional terms is 68.9%. You have 456 observations. What do you conclude about the specification of the model?

解释：

The RESET test examines whether the two additional explanatory variables that squared and cubed fitted values have zero coefficients. It is implemented using an F-test:

(0.689−0.6862)/(1−0.689456−6) F2,450(\frac{0.689-0.686}{2})/(\frac{1-0.689}{456-6})~F_{2,450}

The F-test examines the difference between the R2R^2 in the two models. The critical value for an F2,450F_{2,450} is 3.01 (F.INV. RT(0.05,2,450) in Excel). The value of the test statistic is 2.17, which is less than the critical value, and so the null that the coefficient on the squared and cubic terms is 0 is not rejected.

q是2是因为新增了2个变量吗？
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品职答疑小助手雍 · 2022年02月16日

同学你好，是的。

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NO.PZ2020010801000037 问题如下 You are interestein unrstanng the terminants of the yielspreof corporate bon above a maturity matchesovereign bon You inclu three explanatory variables: the leverage finethe ratio of long-term to the book value of assets, a mmy variable for high yiel ana measure of the volatility of the profitability of the issuer. You are interestein testing whether there are nonlineeffects of some of these variables, anso use a RESET test inclung both the squareancubic term. The R2R^2R2 of the originmol is 68.6%, anthe R2R^2R2 from the mol thinclus both aitionterms is 68.9%. You have 456 observations. Wh you conclu about the specification of the mol? The RESET test examines whether the two aitionexplanatory variables thsquareancubefittevalues have zero coefficients. It is implementeusing F-test:(0.689−0.6862)/(1−0.689456−6) F2,450(\frac{0.689-0.686}{2})/(\frac{1-0.689}{456-6})~F_{2,450}(20.689−0.686​)/(456−61−0.689​) F2,450​The F-test examines the fferenbetween the R2R^2R2 in the two mols. The criticvalue for F2,450F_{2,450}F2,450​ is 3.01 (F.INV. RT(0.05,2,450) in Excel). The value of the test statistic is 2.17, whiis less ththe criticvalue, anso the null ththe coefficient on the squareancubic terms is 0 is not rejecte 请老师翻译一下问题，没有读懂问题，谢谢老师

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