12: Multiple Regression and Issues in Regression Ana

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发表于 2010-4-8 14:24 | 只看该作者

Consider the following estimated regression equation, with calculated t-statistics of the estimates as indicated:

AUTO_t= 10.0 + 1.25 PI_t + 1.0 TEEN_t – 2.0 INS_t

with a PI calculated t-statstic of 0.45, a TEEN calculated t-statstic of 2.2, and an INS calculated t-statstic of 0.63.

The equation was estimated over 40 companies. Using a 5% level of significance, which of the independent variables significantly different from zero?

A)	PI and INS only.

B)	TEEN only.

PI only.

The critical t-values for 40-3-1 = 36 degrees of freedom and a 5% level of significance are ± 2.028. Therefore, only TEEN is statistically significant.

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发表于 2010-4-8 14:29 | 只看该作者

Jacob Warner, CFA, is evaluating a regression analysis recently published in a trade journal that hypothesizes that the annual performance of the S& 500 stock index can be explained by movements in the Federal Funds rate and the U.S. Producer Price Index (PPI). Which of the following statements regarding his analysis is most accurate?

A)	If the p-value of a variable is less than the significance level, the null hypothesis can be rejected.

B)	If the p-value of a variable is less than the significance level, the null hypothesis cannot be rejected.

C)	If the t-value of a variable is less than the significance level, the null hypothesis cannot be rejected.

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发表于 2010-4-8 14:29 | 只看该作者

A)	If the p-value of a variable is less than the significance level, the null hypothesis can be rejected.

B)	If the p-value of a variable is less than the significance level, the null hypothesis cannot be rejected.

C)	If the t-value of a variable is less than the significance level, the null hypothesis cannot be rejected.

The p-value is the smallest level of significance for which the null hypothesis can be rejected. Therefore, for any given variable, if the p-value of a variable is less than the significance level, the null hypothesis can be rejected and the variable is considered to be statistically significant.

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发表于 2010-4-8 14:30 | 只看该作者

Which of the following statements most accurately interprets the following regression results at the given significance level?

Variable p-value

Intercept 0.0201

X1 0.0284

X2 0.0310

X3 0.0143

A)	The variables X1 and X2 are statistically significantly different from zero at the 2% significance level.

B)	The variable X3 is statistically significantly different from zero at the 2% significance level.

C)	The variable X2 is statistically significantly different from zero at the 3% significance level.

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发表于 2010-4-8 14:30 | 只看该作者

Which of the following statements most accurately interprets the following regression results at the given significance level?

Variable p-value

Intercept 0.0201

X1 0.0284

X2 0.0310

X3 0.0143

A)	The variables X1 and X2 are statistically significantly different from zero at the 2% significance level.

B)	The variable X3 is statistically significantly different from zero at the 2% significance level.

C)	The variable X2 is statistically significantly different from zero at the 3% significance level.

The p-value is the smallest level of significance for which the null hypothesis can be rejected. An independent variable is significant if the p-value is less than the stated significance level. In this example, X3 is the variable that has a p-value less than the stated significance level.

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发表于 2010-4-8 14:30 | 只看该作者

When interpreting the results of a multiple regression analysis, which of the following terms represents the value of the dependent variable when the independent variables are all equal to zero?

A)	Slope coefficient.

B)	Intercept term.

p-value.