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标题: Reading 11: Correlation and Regression-LOS j 习题精选 [打印本页]

作者: 土豆妮 时间: 2011-3-3 11:55 标题: [2011]Session 3-Reading 11: Correlation and Regression-LOS j 习题精选

Session 3: Quantitative Methods for Valuation
Reading 11: Correlation and Regression

LOS j: Discuss the limitations of regression analysis.

Regression analysis has a number of assumptions. Violations of these assumptions include which of the following?

A)
Independent variables that are not normally distributed.

B)
Residuals that are not normally distributed.

C)
A zero mean of the residuals.

The assumptions include a normally distributed residual with a constant variance and a mean of zero.

作者: 土豆妮 时间: 2011-3-3 11:56

Limitations of regression analysis include all of the following EXCEPT:

A)
parameter instability.

B)
outliers may affect the estimated regression line.

C)
regression results do not indicate anything about economic significance.

The estimated coefficients tell us something about economic significance – they tell us the expected or average change in the dependent variable for a given change in the independent variable.

作者: 土豆妮 时间: 2011-3-3 11:56

Wanda Brunner, CFA, is working on a regression analysis based on publicly available macroeconomic time-series data. The most important limitation of regression analysis in this instance is:

A)
the error term of one observation is not correlated with that of another observation.

B)
low confidence intervals.

C)
limited usefulness in identifying profitable investment strategies.

Regression analysis based on publicly available data is of limited usefulness if other market participants are also aware of and make use of this evidence.

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