更多服务

特色服务

找学习资源

查报考信息

看备考资讯

备考工具箱

报考指南

报名入口

报名流程

考试动态

考试日历

备考指南

资料中心

福利政策

热门题库

全部

FRM一级每日一题【定量分析47-多元线性回归】

来源：高顿网校 2015-03-04

　　习题：

　　Exercise:

　　You built a linear regression model to analyze annual salaries for a developed country. You incorporated two independent variables, age and experience, into your model. Upon reading the regression results, you noticed that the coefficient of “experience” is negative which appears to be counter-intuitive. In addition you have discovered that the coefficients have low t-statistics but the regression model has a high R2. What is the most likely cause of these results?

　　A Incorrect standard errors.

　　B Heteroskedasticity.

　　C Serial correlation.

　　D Multicollinearity.

　　解析：

　　Answer: D

　　Explanation: Age and experience are highly correlated and would lead to multicollinearity. In fact, low t-statistics but a high R2 do suggest this problem also.

　　知识点：

　　Multicollinearity

　　Multicollinearity refers to a situation in which two or more explanatory variables in a multiple regression model are highly linearly related.

　　l Perfect multicollinearity arises when one of the regressors is a perfect linear combination of the other regressors.

　　l Imperfect multicollinearity arises when one of the regressors is very highly correlated – but not perfectly correlated – with the other regressors. When conducting regression analysis, we need to be cognizant of imperfect multicollinearity since OLS estimators will be computed, but the resulting coefficients may be improperly estimated. The most common way to detect multicollinearity is the situation where t-tests indicate that none of the individual coefficients is significantly different than zero, while the R2 is high.
　　高顿网校为考生准备了史上最全的FRM考试备考指南，轻松学习，简单、高效，让考试So Easy！了解详情

　　FRM考试免费题库【手机题库下载】| 在线直播

　　FRM高清网课免费体验 FRM名师精品班免费试听

　　精彩推荐：

FRM考试，FRM是什么？

2015年FRM考试常见问题解析

FRM考试在线高清视频指导

版权声明：本条内容自发布之日起，有效期为一个月。凡本网站注明“来源高顿教育”或“来源高顿网校”或“来源高顿”的所有作品，均为本网站合法拥有版权的作品，未经本网站授权，任何媒体、网站、个人不得转载、链接、转帖或以其他方式使用。经本网站合法授权的，应在授权范围内使用，且使用时必须注明“来源高顿教育”或“来源高顿网校”或“来源高顿”，并不得对作品中出现的“高顿”字样进行删减、替换等。违反上述声明者，本网站将依法追究其法律责任。本网站的部分资料转载自互联网，均尽力标明作者和出处。本网站转载的目的在于传递更多信息，并不意味着赞同其观点或证实其描述，本网站不对其真实性负责。如您认为本网站刊载作品涉及版权等问题，请与本网站联系(邮箱fawu@gaodun.com，电话：021-31587497)，本网站核实确认后会尽快予以处理。

展开全文咨询在线