FRM一级数量分析例题解析linear regression
Bob, FRM and Joy, FRM are planning to do a regression analysis. They discuss specifying the stock return equation they wish to estimate. Bob proposes the specification E(Yi |Xi)= B0+(B1)×(X^2). Joy process the specification (Yi |Xi)= B0+(B1^2×Xi). Which, or either, is appropriate when applying linear regression?
A. Neither the specification of Bob nor that of Joy.
B. The specification of Bob but not that of Jay.
C. Both the specification of Bob and Jay.
D. The specification of Jay but not that of Bob.
答案：B
解析：线性回归(不是线性函数)，要求系数是线性的，对变量是否是线性没有要求；也就是说变量可以是线性的，也可以是非线性的。
Joy 的描述中B1^2 不是线性的，所以这个不是线性回归
关联考点：线性回归假设之线性易错点分析：线性回归(不是线性函数)，要求系数是线性的，而不是自变量是线性的。只要系数β是线性的就称为线性回归。这个问题弄错的原因是，大家把“线性回归方程”等价于“线性函数”,两者的概念不一样。
To test the hypothesis that the autocorrelations of a time series are jointly equal to zero based on a small sample, an analyst should most appropriately calculate
A. a Ljung-Box (LB) Q-statistic.
B. a Box-Pierce (BP) Q-statistic.
C. either a Ljung-Box (LB) or a Box-Pierce (BP) Q-statistic.
D. neither a Ljung-Box (LB) nor a Box-Pierce (BP) Q-statistic.
答案：A
解析： The LBQ-statistic is appropriate for testing this hypothesis based on a small sample.
关联考点：白噪音检验、BPQ检验、L-BPQ检验
易错点分析：相对于Box-Pierce (BP) Q-statistic，Ljung-Box (LB) Qstatistic更加适合小样本检验。
