6.Upon further analysis, Turner concludes that multicollinearity is a problem. What might have prompted this further analysis and what is intuition behind the conclusion? A) At least one of the t-statistics was not significant, the F-statistic was not significant, and a positive relationship between the number of analysts and the size of the firm would be expected. B) At least one of the t-statistics was not significant, the F-statistic was significant, and a positive relationship between the number of analysts and the size of the firm would be expected. C) At least one of the t-statistics was not significant, the F-statistic was not significant, and an inverse relationship between the number of analysts and the size of the firm would be expected. D) At least one of the t-statistics was not significant, the F-statistic was significant, and an intercept not significantly different from zero would be expected. The correct answer was B) Multicollinearity occurs when there is a high correlation among independent variables and may exist if there is a significant F-statistic for the fit of the regression model, but at least one insignificant independent variable when we expect all of them to be significant. In this case the coefficient on ln(market value) was not significant at the 1% level, but the F-statistic was significant. It would make sense that the size of the firm, i.e., the market value, and the number of analysts would be positively correlated. 7.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) Intercept term. B) Slope coefficient. C) p-value. D) t-value. The correct answer was A) The intercept term is the value of the dependent variable when the independent variables are set to zero. 8.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 intercept and the variable X3 are statistically significantly different from zero at the 1% significance level. C) The variable X3 is statistically significantly different from zero at the 2% significance level. D) The variable X2 is statistically significantly different from zero at the 3% significance level. The correct answer was C) 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. 9.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 cannot be rejected. B) If the t-value of a variable is less than the significance level, the null hypothesis can be rejected. C) If the p-value of a variable is less than the significance level, the null hypothesis can be rejected. D) If the t-value of a variable is less than the significance level, the null hypothesis cannot be rejected. The correct answer was C) 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. 10.Consider the following estimated regression equation, with calculated t-statistics of the estimates as indicated: AUTOt = 10.0 + 1.25 PIt + 1.0 TEENt – 2.0 INSt 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 percent level of significance, which of the independent variables significantly different from zero? A) PI and INS only. B) TEEN only. C) PI, TEEN, and INS. D) PI only. The correct answer was B) 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. | 
发表于 2008-4-8 18:46
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