CFA考试二级数量讲义.pdf

金程教育2010年cfa二级基础班讲义金程教育2010年cfa二级基础班讲义 quantitatives 讲师：祈李磊 日期：2010年1月16日 地点： 上海 北京 深圳 讲师：祈李磊 日期：2010年1月16日 地点： 上海 北京 深圳 上海金程国际金融专修学院上海金程国际金融专修学院上海金程国际金融专修学院上海金程国际金融专修学院 专业来自百分百的投入copyright 2010 by gfedu cfa二级课程框架二级课程框架 total: alternative investments derivatives fixed income equity investment portfolio management and wealth planning corporate finance financial reporting and analysis economics quantitative analysis ethics coefficient, and interpret a scatter plot; b. explain the limitations to correlation analysis, including oub. explain the limitations to correlation analysis, including outliers and tliers and spurious correlation;spurious correlation; c. formulate a test of the hypothesis that the population correlc. formulate a test of the hypothesis that the population correlation ation coefficient equals zero, and determine whether the hypothesis iscoefficient equals zero, and determine whether the hypothesis is rejected at rejected at a given level of significance; a given level of significance; d. differentiate between the dependent and independent variablesd. differentiate between the dependent and independent variables in a in a linear regression; linear regression; e. explain the assumptions underlying linear regression and intee. explain the assumptions underlying linear regression and interpret the rpret the regression coefficients; regression coefficients; f. calculate and interpret the standard error of estimate, the cf. calculate and interpret the standard error of estimate, the coefficient of oefficient of determination, and a confidence interval for a regression coeffidetermination, and a confidence interval for a regression coefficient;cient; 专业来自百分百的投入copyright 2010 by gfedu 14 los g. formulate a null and alternative hypothesis about a populatiog. formulate a null and alternative hypothesis about a population value n value of a regression coefficient, select the appropriate test statistof a regression coefficient, select the appropriate test statistic, and ic, and determine whether the null hypothesis is rejected at a given levdetermine whether the null hypothesis is rejected at a given level of el of significance; significance; h. calculate a predicted value for the dependent variable, givenh. calculate a predicted value for the dependent variable, given an an estimated regression model and a value for the independent variaestimated regression model and a value for the independent variable, ble, and calculate and interpret a confidence interval for the predicand calculate and interpret a confidence interval for the predicted value ted value of a dependent variable; of a dependent variable; i. describe the use of analysis of variance (anova) in regressioi. describe the use of analysis of variance (anova) in regression n analysis, interpret anova results, and calculate and interpret aanalysis, interpret anova results, and calculate and interpret an fn f- - statistic;statistic; j. discuss the limitations of regression analysis.j. discuss the limitations of regression analysis. 专业来自百分百的投入copyright 2010 by gfedu 15 framework ? correlation and regression 1. scatter plots 2. covariance and correlation 3. interpretations of correlation coefficients 4. limitations to correlation analysis 5. significance test of the correlation 6. the basics of simple linear regression 7. estimated regression coefficient 8. standard error of estimate values; b. formulate a null and an alternative hypothesis about the popub. formulate a null and an alternative hypothesis about the population value lation value of a regression coefficient, calculate the value of the test staof a regression coefficient, calculate the value of the test statistic, determine tistic, determine whether to reject the null hypothesis at a given level of signifwhether to reject the null hypothesis at a given level of significance, using a icance, using a oneone- -tailed or twotailed or two- -tailed test, and interpret the result of the test; tailed test, and interpret the result of the test; c. calculate and interpret 1) a confidence interval for the popuc. calculate and interpret 1) a confidence interval for the population value of lation value of a regression coefficient and 2) a predicted value for the dependa regression coefficient and 2) a predicted value for the dependent variable, ent variable, given an estimated regression model and assumed values for the igiven an estimated regression model and assumed values for the independent ndependent variables; variables; d. explain the assumptions of a multiple regression model;d. explain the assumptions of a multiple regression model; 专业来自百分百的投入copyright 2010 by gfedu 40 los e. calculate and interpret the fe. calculate and interpret the f- -statistic, and discuss how it is used in statistic, and discuss how it is used in regression analysis, define, distinguish between, and interpret regression analysis, define, distinguish between, and interpret the rthe r 2 2 and and adjusted radjusted r 2 2 in multiple regression, and infer how well a regression model in multiple regression, and infer how well a regression model explains the dependent variable by analyzing the output of the rexplains the dependent variable by analyzing the output of the regression egression equation and an anova table; equation and an anova table; f. formulate a multiple regression equation using dummy variablef. formulate a multiple regression equation using dummy variables to s to represent qualitative factors, and interpret the coefficients anrepresent qualitative factors, and interpret the coefficients and regression d regression results; results; g. discuss the types of g. discuss the types of heteroskedasticityheteroskedasticity and the effects of and the effects of heteroskedasticityheteroskedasticity and serial correlation on statistical inference; and serial correlation on statistical inference; h. describe h. describe multicollinearitymulticollinearity and discuss its causes and effects in regression and discuss its causes and effects in regression analysis; analysis; i. discuss the effects of model misspecification on the results i. discuss the effects of model misspecification on the results of a regression of a regression analysis and explain how to avoid the common forms of misspecifianalysis and explain how to avoid the common forms of misspecification;cation; j. discuss models with qualitative dependent variables;j. discuss models with qualitative dependent variables; k. interpret the economic meaning of the results of multiple regk. interpret the economic meaning of the results of multiple regression ression analysis and critique a regression model and its results.analysis and critique a regression model and its results. 专业来自百分百的投入copyright 2010 by gfedu 41 framework ? multiple regression 1. the basics of multiple regression 2. interpreting the multiple regression results 3. hypothesis testing about the regression coefficient 4. regression coefficient f-test 5. coefficient of determination (r2) 6. analysis of variance (anova) 7. dummy variables 8. multiple regression assumptions 9. multiple regression assumption violations 10. model misspecification 11. qualitative dependent variables 专业来自百分百的投入copyright 2010 by gfedu 42 1. the basics of multiple regression ? multiple regress