Q1. An analyst is testing to see whether a dependent variable is related to three independent variables. He finds that two of the independent variables are correlated with each other, but that the correlation is spurious. Which of the following is most accurate? There is:
A) evidence of multicollinearity but not serial correlation.
B) no evidence of multicollinearity and serial correlation.
C) evidence of multicollinearity and serial correlation.
Q2. A variable is regressed against three other variables, x, y, and z. Which of the following would NOT be an indication of multicollinearity? X is closely related to:
A) y2.
B) 3y + 2z.
C) 3.
Q3. Miles Mason, CFA, works for ABC Capital, a large money management company based in
ABC Capital’s upper management requested that current clients be surveyed in order to determine the cause of the shift of assets away from ABC funds. Results of the survey indicated that clients feel there is a lack of information regarding ABC’s funds. Clients would like to see extensive information about ABC’s past performance, as well as a sensitivity analysis showing how the funds will perform in varying market scenarios. Mason is part of a team that has been charged by upper management to create a marketing program to present to both current and potential clients of ABC. He needs to be able to demonstrate a history of strong performance for the ABC funds, and, while not promising any measure of future performance, project possible return scenarios. He decides to conduct a regression analysis on all of ABC’s in-house funds. He is going to use 12 independent economic variables in order to predict each particular fund’s return. Mason is very aware of the many factors that could minimize the effectiveness of his regression model, and if any are present, he knows he must determine if any corrective actions are necessary. Mason is using a sample size of 121 monthly returns.
In order to conduct an F-test, what would be the degrees of freedom used (dfnumerator; dfdenominator)?
A) 12; 108.
B) 108; 12.
C) 11; 120.
答案和详解如下:
Q1. An analyst is testing to see whether a dependent variable is related to three independent variables. He finds that two of the independent variables are correlated with each other, but that the correlation is spurious. Which of the following is most accurate? There is:
A) evidence of multicollinearity but not serial correlation.
B) no evidence of multicollinearity and serial correlation.
C) evidence of multicollinearity and serial correlation.
Correct answer is A )
Just because the correlation is spurious, does not mean the problem of multicollinearity will go away. However, there is no evidence of serial correlation.
Q2. A variable is regressed against three other variables, x, y, and z. Which of the following would NOT be an indication of multicollinearity? X is closely related to:
A) y2.
B) 3y + 2z.
C) 3.
Correct answer is A)
If x is related to y2, the relationship between x and y is not linear, so multicollinearity does not exist. If x is equal to a constant (3), it will be correlated with the intercept term.
Q3. Miles Mason, CFA, works for ABC Capital, a large money management company based in
ABC Capital’s upper management requested that current clients be surveyed in order to determine the cause of the shift of assets away from ABC funds. Results of the survey indicated that clients feel there is a lack of information regarding ABC’s funds. Clients would like to see extensive information about ABC’s past performance, as well as a sensitivity analysis showing how the funds will perform in varying market scenarios. Mason is part of a team that has been charged by upper management to create a marketing program to present to both current and potential clients of ABC. He needs to be able to demonstrate a history of strong performance for the ABC funds, and, while not promising any measure of future performance, project possible return scenarios. He decides to conduct a regression analysis on all of ABC’s in-house funds. He is going to use 12 independent economic variables in order to predict each particular fund’s return. Mason is very aware of the many factors that could minimize the effectiveness of his regression model, and if any are present, he knows he must determine if any corrective actions are necessary. Mason is using a sample size of 121 monthly returns.
In order to conduct an F-test, what would be the degrees of freedom used (dfnumerator; dfdenominator)?
A) 12; 108.
B) 108; 12.
C) 11; 120.
Correct answer is A)
Degrees of freedom for the F-statistic is k for the numerator and n − k − 1 for the denominator.
k = 12
n − k − 1 = 121 − 12 − 1 = 108
thanx
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