Solution

ID: past-exam-of-the-probability-statistics-and-options-ii-course-of-the-university-of-oxford/2010/o/o4/b/iv/solution

At level the two-sided critical values are . Since , do not reject the two-sided null. The approximate two-sided -value is .
For the specified alternative , the statistic should be negative. Reject in the lower tail, . Since , reject for this one-sided alternative, with approximate -value . The direction of the tail follows the order of subtraction in the statistic.

New to topics? Read the docs here!