gita

 

5、Which of the following statements regarding the results of a regression analysis is FALSE? The:

A) slope coefficient in a multiple regression is the value of the dependent variable for a given value of the independent variable.

B) slope coefficient in a multiple regression is the change in the dependent variable for a one-unit change in the independent variable, holding all other variables constant.

C) intercept is the value that the dependent variable takes on if all the independent variables had a value of zero.

D) slope coefficients in the multiple regression are referred to as partial betas.

gita

 

The correct answer is C

The adjusted-R2 will always be less than R2in multiple regression.

[此贴子已经被作者于2009-6-26 16:01:29编辑过]

lianai

 

2、Which of the following statements regarding the R2 is FALSE?

A) The R2 of a regression will be greater than or equal to the adjusted-R2 for the same regression.

B) 0 ≤ R2 ≤ 1.0.

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.

D) The R2 is the ratio of the unexplained variation to the explained variation of the dependent variable.

lianai

 

The correct answer is D

The R2 is the ratio of the explained variation to the total variation.

lianai

 

3、Which of the following statements regarding the R2 is FALSE?

A) The adjusted-R2 not appropriate to use in simple regression.

B) Adding independent variables to the regression equation will increase the R2.

C) The adjusted-R2 is greater than the R2 in multiple regression.

D) It is possible for the adjusted-R2 to decline as more variables are added to the multiple regression.

lianai

 

The correct answer is B

The p-value is the smallest level of significance for which the null hypothesis can be rejected. Therefore, for any given variable, if the p-value of a variable is less than the significance level, the null hypothesis can be rejected and the variable is considered to be statistically significant.

 

lianai

 

AIM 12: Define, calculate and interpret the adjusted coefficient of determination.

1、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 lower coefficient of determination.

B) should have a higher coefficient on the independent variable.

C) regression should have higher sum of squares regression as a ratio to the total sum of squares.

D) should have a higher total sum of squares.

lianai

 

The correct answer is C

The index fund regression should provide a higher R2, which is the sum of squares regression divided by the total sum of squares.

lianai

 

The correct answer is D

34.98 + 1.2(16) + 0.5(10) = 59.18

 

lianai

 

Holding everything else constant, do men get paid more than women? Use a 5% level of significance. No, since the t-value:

A) exceeds the critical value of 1.65.

B) does not exceed the critical value of 1.65.

C) exceeds the critical value of 1.96.

D) does not exceed the critical value of 1.96.