名同學(xué)
2019-02-18 16:3922.單選題 收藏 標(biāo)記 糾錯(cuò) John, a portfolio manager, claims to have consistently produced excessive returns (over and above the benchmark returns) 97.5% of the time due to her skill and not luck. To support her claim, she presents regression results based on 60 monthly observations as follows: alpha = 0.43%, standard error of alpha = 0.21% Would you reject the null hypothesis of true α = 0 and accept her claim of superior performance 95% of the time due to her skill? A t = 2.50; reject the null hypothesis; reject her claim. B t = 2.50; reject the null hypothesis; accept her claim. C t = 2.05; fail to reject the null hypothesis; accept her claim. D t = 2.05; reject the null hypothesis; accept her claim. 這道題到底是用單尾檢驗(yàn)還是雙尾檢驗(yàn) 如果檢驗(yàn)T統(tǒng)計(jì)量是否區(qū)別于零的話不是應(yīng)該用雙尾檢驗(yàn)么 為什么答案給的跟單尾95%1.645去比而不是用雙尾95%1.96比？
所屬：FRM Part II 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個(gè)回答
Crystal助教
2019-02-19 09:31
該回答已被題主采納
同學(xué)你好，這個(gè)你是正確的，確實(shí)是應(yīng)該和1.96來進(jìn)行比較的。
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