Q1. Which of the following statements regarding the R2 is FALSE? A) The adjusted-R2 not appropriate to use in simple regression. B) It is possible for the adjusted-R2 to decline as more variables are added to the multiple regression. C) The adjusted-R2 is greater than the R2 in multiple regression.
Q2. Which of the following statements regarding the R2 is FALSE? A) The R2 is the ratio of the unexplained variation to the explained variation of the dependent variable. B) The R2 of a regression will be greater than or equal to the adjusted-R2 for the same regression. C) The F-statistic for the test of the fit of the model is the ratio of the mean squared regression to the mean squared error.
Q3. An analyst is estimating a regression equation with three independent variables, and calculates the R2, the adjusted R2, and the F-statistic. The analyst then decides to add a fourth variable to the equation. Which of the following is most accurate? A) The R2 and F-statistic will be higher, but the adjusted R2 could be higher or lower. B) The adjusted R2 will be higher, but the R2 and F-statistic could be higher or lower. C) The R2 will be higher, but the adjusted R2 and F-statistic could be higher or lower.
Q4. An analyst regresses the return of a S& 500 index fund against the S& 500, and also regresses the return of an active manager against the S& 500. The analyst uses the last five years of data in both regressions. Without making any other assumptions, which of the following is TRUE? The index fund: A) should have a higher coefficient on the independent variable. B) should have a lower coefficient of determination. C) regression should have higher sum of squares regression as a ratio to the total sum of squares.
[此贴子已经被作者于2009-1-8 14:16:56编辑过] | 
发表于 2009-1-8 14:00
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