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- 2013-8-21
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Sneaky Little CFAI TRICKS
Not sure if there is a thread on this already, but I figured it would be useful to start a thread with examples of questions that had little tricks to confuse us …
CFA Mock 2010
Quant vignette - a couple of the questions require the ‘standard error’ term but it is nowhere to be found (directly). However, in the regression output, we have the following:
SPREAD (one of the independent variables)
Coefficient = 1.0264
t-statistic = 4.28
In the vignette, it says the analyst hypothesizes that the coefficient for SPREAD is actually equal to 1. Then, Q40 asks to calculate the t-statistic relating to the hypothesis that the SPREAD coefficient is 1.
So, how do we calculate the t-statistic for the analyst’s hypothesis on SPREAD without the standard error for SPREAD? Remember, the t-statistic in the regression output is calculated assuming the null hypothesis that the coefficient = 0. So, from the regression output, we know:
t-statistic = (coefficient - 0) / Standard Error (SPREAD)
4.28 = 1.0264 / Standard Error (SPREAD)
Standard Error (SPREAD) = 0.24
Then, to answer Q40:
t-statistic = (1.0264 - 1) / 0.24
…I know that was lengthy, but I will add some shorter ones that I come across. Just wanted to see if other people noticed these tricky questions … |
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发表于 2013-4-4 05:33
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