65题重难点回顾-定量分析讲义.pdfVIP

Econometrics 29. John Niu, FRM, currently works as equity analyst in Golden Finance. He develops a regression model to attribute returns on an equity fund to the market return factor. The regression results are shown as follows: Y = 饊亸饊亸 + 饊亸饊亸 脳 R + 饊€攫€€ 0 1 饊仛饊仛 Coefficient Standard Error t-Statistic b 0.2258 0.0346 6.5260 0 b X 0.0875 XX 1 The sample size is 120. John prints out the report but find that b1鈥檚 coefficient is missing, marked as X here. Which of the following intervals is most likely to be the real 95% confidence interval for b is? 1 鍦ㄧ洿鎾涓婏紝閬囧埌鍚笉鎳傜殑锛屽彲浠ョ珛鍒婚棶鑰佸笀鍝 Econometrics A. From 0.6853 to 1.0283. B. From 0.7124 to 1.0012. C. From 0.5487 to 1.1521. D. From 0.4569 to 1.2658. 鍦ㄧ洿鎾涓婏紝閬囧埌鍚笉鎳傜殑锛屽彲浠ョ珛鍒婚棶鑰佸笀鍝 Econometrics Answer: A The confidence interval for regression coefficient beta is calculated as: 饊嫾饊嫾 饊嫾饊嫾 [饊亸饊亸 鈭掟€€娥€€ 脳 饊亞饊亞饊亞饊亞 饊亸饊亸 , 饊亸饊亸 + 饊€娥€€ 脳 饊亞饊亞饊亞饊亞 饊亸饊亸 ] 1 1 1 1 2 2 With sample size of 120, we can get the degree of freedom for t-distribution to be 118, which is large enough to conclude that this t-distribution is fairly closed to z-distribution (standard normal distribution). Using the critical value from z- distribution, we can get the 95% confidence interval for b1锛