aianjie

 

The correct answer is C

R2 = RSS / SST = 23,516 / 23,644 = 0.9946.

aianjie

 

Is the intercept term statistically significant at the 5% level of significance and the 1% level of significance, respectively?

1%   5%

A)               Yes    No

B)               No     No

C)               Yes    Yes

D)               No     Yes

aianjie

 

The correct answer is C

The test statistic is t = b / std error of b = 5.29 / 1.615 = 3.2755.

Critical t-values are ± 2.101 for the degrees of freedom = n ? k ? 1 = 18 for alpha = 0.05. For alpha = 0.01, critical t-values are ± 2.878. At both levels (two-tailed tests) we can reject H0 that b = 0.

aianjie

 

The correct answer is D

SSE = SST ? RSS = 23,644 ? 23,516 = 128

aianjie

 

What is the value of R2?

A) 0.0055.

B) 5.2900.

C) 0.9946. 

D) 0.9471.

aianjie

 

What is the sum of squared errors (SSE)?

A) 23,515.

B) 23,644.

C) 3,283.

D) 128.

aianjie

 

The correct answer is D

SSE = SST ? RSS = 23,644 ? 23,516 = 128

What is the value of R2?

A) 0.0055.

B) 5.2900.

C) 0.9946. 

D) 0.9471.

aianjie

 

The correct answer is A

The correlation coefficient is the square root of the R2, which can be found by dividing the regression sum of squares by the total sum of squares. The regression sum of squares is the mean regression sum of squares multiplied by the number of independent variables, which is 1, so the regression sum of squares is equal to 117.9. The residual sum of squares is the mean squared error multiplied by the denominator degrees of freedom, which is the number of observations minus the number of independent variables, minus 1, which is equal to 100 ? 1 ? 1 = 98. The residual sum of squares is then 2.807 × 98 = 275.1. The total sum of squares is the sum of the regression sum of squares and the residual sum of squares, which is 117.9 + 275.1 = 393.0. The R2 = 117.9 / 393.0 = 0.3, so the correlation is the square root of 0.3 = 0.55.

aianjie

 

4、Erica Basenj, CFA, has been given an assignment by her boss. She has been requested to review the following regression output to answer questions about the relationship between the monthly returns of the Toffee Investment Management (TIM) High Yield Bond Fund and the returns of the index (independent variable).

Regression Statistics	< >>	< >>	< >>	< >>	< >>
R2	??	< >>	< >>	< >>	< >>
Standard Error	??	< >>	< >>	< >>	< >>
Observations	20	< >>	< >>	< >>	< >>
< >>	< >>	< >>	< >>	< >>	< >>
ANOVA	< >>	< >>	< >>	< >>	< >>
< >>	df	SS	MS	F	Significance F
Regression	1	23,516	23,516	?	?
Residual	18	?	7	< >>	< >>
Total	19	23,644	< >>	< >>	< >>
< >>	< >>	< >>	< >>	< >>	< >>
Regression Equation	< >>	< >>	< >>	< >>	< >>
< >>	< >>	Coefficients	Std. Error	t-statistic	P-value
Intercept	< >>	5.2900	1.6150	?	?
Slope	< >>	0.8700	0.0152	?	?

What is the value of the correlation coefficient?

A)    ?0.9973.

B)    0.8700.

C)   0.9973.

D)   ?0.8700.

aianjie

 

The correct answer is C

R2 is the correlation coefficient squared, taking into account whether the relationship is positive or negative. Since the value of the slope is positive, the TIM fund and the index are positively related. R2 is calculated by taking the (RSS / SST) = 0.99459. (0.99459)1/2 = 0.9973.