An analyst runs a regression of portfolio returns on three independent variables. These independent variables are price-to-sales (P/S), price-to-cash flow (P/CF), and price-to-book (P/B). The analyst discovers that the p-values for each independent variable are relatively high. However, the F-test has a very small p-value. The analyst is puzzled and tries to figure out how the F-test can be statistically significant when the individual independent variables are not significant. What violation of regression analysis has occurred?
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conditional heteroskedasticity. | |
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An indication of multicollinearity is when the independent variables individually are not statistically significant but the F-test suggests that the variables as a whole do an excellent job of explaining the variation in the dependent variable.
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发表于 2010-4-8 15:26
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