Q6. Carter realizes that although regression analysis is a useful tool when analyzing investments, there are limitations. Carter made a list of points describing limitations that Smith Brothers equity traders should be aware of when applying her research to their investment decisions. - Point 1: Data derived from regression analysis may be homoskedastic.
- Point 2: Data from regression relationships tends to exhibit parameter instability.
- Point 3: Results of regression analysis may exhibit autocorrelation.
- Point 4: The variance of the error term changes over time.
When reviewing Carter’s list, one of the Smith Brothers’ equity traders points out that not all of the points describe regression analysis limitations. Which of Carter’s points most accurately describes the limitations to regression analysis? A) Points 2, 3, and 4. B) Points 1, 2, and 3. C) Points 1, 3, and 4.
Q7. Which of the following is least likely an assumption of linear regression? The: A) expected value of the residuals is zero. B) residuals are independently distributed. C) residuals are mean reverting; that is, they tend towards zero over time.
Q8. Which of the following is least likely an assumption of linear regression? A) The residuals are normally distributed. B) The variance of the residuals is constant. C) The independent variable is correlated with the residuals.
Q9. The assumptions underlying linear regression include all of the following EXCEPT the: A) disturbance term is normally distributed with an expected value of 0. B) independent variable is linearly related to the residuals (or disturbance term). C) disturbance term is homoskedastic and is independently distributed.
Q10. Linear regression is based on a number of assumptions. Which of the following is least likely an assumption of linear regression? A) There is at least some correlation between the error terms from one observation to the next. B) Values of the independent variable are not correlated with the error term. C) The variance of the error terms each period remains the same.
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发表于 2009-1-5 10:10
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