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系統識別號 U0026-0812200913375236
論文名稱(中文) 資產定價理論中有關聯立迴歸方程式之等價性檢定
論文名稱(英文) Testing the Equivalence of Regressions for the Capital Asset Pricing Models
校院名稱 成功大學
系所名稱(中) 統計學系碩博士班
系所名稱(英) Department of Statistics
學年度 95
學期 2
出版年 96
研究生(中文) 游禮維
研究生(英文) Li-wei You
電子信箱 lwyu@stat.ncku.edu.tw
學號 r2694102
學位類別 碩士
語文別 英文
論文頁數 50頁
口試委員 指導教授-陳占平
口試委員-溫敏杰
口試委員-吳宗正
中文關鍵字 水準和檢力  無差異區域  學生化全距檢定  最保守均數組合 
英文關鍵字 Level and power  Indifference zone  Studentized range test  Least favorable configuration 
學科別分類
中文摘要 在使用單一樣本抽樣方法之下,定義兩個學生化全距檢定統計量,
以檢定數個簡單迴歸模型中的 α 係數(截距)及 β 係數(斜率)是否等價, 並將其運用在資產定價理論(Capital Asset Pricing Model)當中。 在虛無假設成立時,根據達到最大水準之均數組合,可求得最大的顯著水準;在對立假設成立時,根據達到最小檢力之均數組合,可求得最小的檢力。在均數組合之下,水準和檢力與未知的 α 係數、 β 係數和變異數是獨立的。給定顯著水準,可同時求得學生化全距檢定統計量的臨界值和檢力。我們提供計算臨界值以及檢力的電腦程式,並將檢定方法運用於共同基金的資料上。
英文摘要 A studentized range test using the usual one-sample sampling procedure is proposed for testing the hypothesis of equivalence of alpha intercepts and beta slopes for the capital asset pricing regression models against an alternative hypothesis of inequivalence. Both the maximum level and the minimum power of the proposed test associated with these hypotheses are obtainable at
their corresponding least favorable mean configurations; it can be seen that they are completely independent of the unknown alphas, betas and the unknown variance. For a given level, the critical value and the power for an experiment can be simultaneously determined. Computer programs to calculate the critical values and the power are provided for practitioners. A real example in mutual fund is demonstrated.
論文目次 1 Introduction 1
2 One Sample Sampling Procedure and Range Test 2
3 Numerical Calculation 10
4 Example 13
5 Conclusion and Discussion 18
References 19
Appendix A 21
Appendix B 46
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