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- 2011-7-11
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- 2014-8-5
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definitive answer from the book:
High R^2 and significant F-statistic even though the t--statistics on the slope coefficients are themselves not significant (indicating inflated std. errors for the slope coeffs).
Also they specifically also write - magnitude of pairwise correlations between independent variables has occasionally been suggested to assess multicoll. but is generally not adequate. It is not necessary that the pairwise correlations be high for there to be a multicoll. problem.
so based on the above
B) is eliminated.
C) F-value is high, but p-values are low - which means that the S&P500 and SPREAD are significant variables - so that too is out.
has to be A) by elimination.
CP |
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发表于 2011-7-13 16:45
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