Question
In: Statistics and Probability
Estimate a multiple linear regression relationship with the U.K. stock returns as the dependent variable (intercept), and RBUK, U.S.
| SUMMARY OUTPUT | ||||||||
| Regression Statistics | ||||||||
| Multiple R | 0.727076179 | |||||||
| R Square | 0.528639771 | |||||||
| Adjusted R Square | 0.525504337 | |||||||
| Standard Error | 3.573206748 | |||||||
| Observations | 455 | |||||||
| ANOVA | ||||||||
| df | SS | MS | F | Significance F | ||||
| Regression | 3 | 6458.025113 | 2152.67504 | 168.601791 | 2.7119E-73 | |||
| Residual | 451 | 5758.280717 | 12.7678065 | |||||
| Total | 454 | 12216.30583 | ||||||
| Coefficients | Standard Error | t Stat | P-value | Lower 95% | Upper 95% | Lower 99.0% | Upper 99.0% | |
| Intercept | -0.250148858 | 0.359211364 | -0.6963835 | 0.48654745 | -0.9560846 | 0.45578693 | -1.1793476 | 0.67904987 |
| RBUK | 0.025079378 | 0.023812698 | 1.05319345 | 0.29281626 | -0.0217182 | 0.07187699 | -0.0365187 | 0.08667745 |
| RSUS | 0.713727515 | 0.042328316 | 16.8617037 | 8.0578E-50 | 0.6305423 | 0.79691273 | 0.60423372 | 0.82322131 |
| RSJA | 0.222104292 | 0.029996288 | 7.40439254 | 6.5208E-13 | 0.16315445 | 0.28105414 | 0.14451066 | 0.29969792 |
Estimate a multiple linear regression relationship with the U.K. stock returns as the dependent variable (intercept), and RBUK, U.S. Stock Returns RSUS, and Japan Stock Returns RSJA as the independent variables using the monthly data covering the sample period 1980-2017 (Finding the determinants of U.K. stock returns) 1) Show the estimated regression relationship 2) Conduct a t-test for statistical significance of the individual slope coefficients at the 1% level of significance. Provide the interpretation of the significant slope estimates Make sure you conduct the testing procedures by both methods of testing, the P value method and the Critical value method with all the details.
Solutions
orchestra answered 2 years agoRelated Solutions
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