    891

 25.1 ()

     

1) :

(TxZXy)-(?yx?X)^(16x1039,85)-(27,31x42,49)_
(Tx-LX2)-^}2 ~   (16972,16)-(42,49)2

2) :

[LY /"]- [ x(?X /)] =[27,31/16]- [1,13  (42,49/16)]=-1,29

3)    :

{[LY2 - (  1) - (  (IXY)] / [ - 2]}172 =

= {[1332,34 - (-1,29  42,49) - (1,13  1039,85)] /[16- 2]}172 = 3,75

4)    :

   /{?X2 - [(DQ2/]}1^ =

=3,75/{972,16-[(42,49)2/[16]}1/2= 00,13

5)   :

   /{-[(?X /'LX)2]}^^2=

= 3,75/{16 - [(A2AQf/Q72,^}}v2 = 1,00

6)  :

{Tx-LXY)-(I.Yx-LX)

{[(  2) - ()2  [(  ZX2) - (ZX)2]}'^

(161039,85)-(27,3142,49)

=0,92

{[(16  1332,34) - (27,31)2  [(16  972,16) - (42,49)2]^1/2

7)  :

( )2 = (0,92)2 = 0,85

8)  :

1 -   = 1 - 0,85 =0,15

     t,  t    1   ( 
 t = 1, ...,16).

   . 22,      , -
    ,      
(ar )     ,  ar^. 
     (ex post alpha)  ( -
 )    :

(Xp=arp-art,p.                                 (22.3)

     ,    
   ,    ,  -
  .   ,   -
   ,    ,   -
    .

    (25.1)  ar   (22.3),  ,
   ,    SML, 4: