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

Expert Solution

orchestra answered 1 year ago
Next > < Previous

Related Solutions

Estimate a multiple linear regression relationship with the U.K. stock returns as the dependent variable, and...
Estimate a multiple linear regression relationship with the U.K. stock returns as the dependent variable, and U.K. Corporate Bond yield (Interest rate), U.S. Stock Returns, and Japan Stock Returns as the independent variables using the monthly data covering the sample period 1980-2017 (Finding the determinants of U.K. stock returns). Show the estimated regression relationship 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. Conduct...
For a regression with log(bweight) as the dependent variable, we have Variable Estimate Standard Error Constant/Intercept...
For a regression with log(bweight) as the dependent variable, we have Variable Estimate Standard Error Constant/Intercept 4.66 0.029 Male 0.03 0.010 Motheduc 0.002 0.002 lfaminc 0.02 0.006 You expect an increase in family income to increase birth weight. Test this hypothesis at the 1% level of significance. Make sure you explicitly include all of the steps.
What type of relationship between a dependent and independent variable is described by linear regression? A....
What type of relationship between a dependent and independent variable is described by linear regression? A. An exponential relationship B. A parabolic relationship C. A threshold effect D. A linear relationship
Multiple regression analysis was used to study the relationship between a dependent variable, y, and four...
Multiple regression analysis was used to study the relationship between a dependent variable, y, and four independent variables; x1, x2, x3, and x4. The following is a partial result of the regression analysis involving 31 observations. Coefficients Standard Error Intercept 18.00 6.00 x1 12.00 8.00 x2 24.00 48.00 x3 -36.00 36.00 x4 16.00 2.00 ANOVA df SS MS F Regression 125 Error Total 760 a) Compute the multiple coefficient of determination. b) Perform a t test and determine whether or...
(1) Estimate a multiple regression equation with the price-earnings ratio (P/E) as the dependent variable and...
(1) Estimate a multiple regression equation with the price-earnings ratio (P/E) as the dependent variable and the following as independent variables: intercept, gross profit margin, sales growth, dummy variable for industry 1, and dummy variable for industry 2. (2 ) Create a set of dummy variables for each of the three industries. (3) Interpret the regression results: (a) adjusted R-square (b) F-statistic (c) t-statistics for each of the coefficients (4) Calculate a P/E ratio point estimate for a firm with...
When we estimate a linear multiple regression model (including a linear simple regression model), it appears...
When we estimate a linear multiple regression model (including a linear simple regression model), it appears that the calculation of the coefficient of determination, R2, for this model can be accomplished by using the squared sample correlation coefficient between the original values and the predicted values of the dependent variable of this model. Is this statement true? If yes, why? If not, why not? Please use either matrix algebra or algebra to support your reasoning.
Using a regression to estimate beta, we run a regression with returns on the stock in...
Using a regression to estimate beta, we run a regression with returns on the stock in question plotted on the Y axis and returns on the market portfolio plotted on the X axis. The intercept of the regression line, which measures relative volatility, is defined as the stock’s beta coefficient, or b. True. FALSE A 10-year corporate bond has an annual coupon payment of 2.8%. The bond is currently selling at par ($1,000). Which of the following statement is NOT...
Using a regression to estimate beta, we run a regression with returns on the stock in...
Using a regression to estimate beta, we run a regression with returns on the stock in question plotted on the Y axis and returns on the market portfolio plotted on the X axis. The intercept of the regression line, which measures relative volatility, is defined as the stock’s beta coefficient, or b. True. FALSE A 10-year corporate bond has an annual coupon payment of 2.8%. The bond is currently selling at par ($1,000). Which of the following statement is NOT...
a. If they are going to run a linear regression, identify which variable should be the independent variable and which should be the dependent variable in a regression equation.
In seeking to determine how influential advertising is, the management of a recently established retail chain collected data on sales revenue and advertising expenditure from its' stores over the last ten (10) weeks. The table below shows the data collected: Advertising Expenditure ($ 000) Sales ($ 000) 3 5 76 50 250 700 450 3.5 75 4 150 4.5 7 200 750 7.5 800 8.5 1,100 a. If they are going to run a linear regression, identify which variable should...
Using the following regression results Dependent Variable: Q for the monopolistically competitive chemical company Intercept                     &nbs
Using the following regression results Dependent Variable: Q for the monopolistically competitive chemical company Intercept                          -3.415                                     (0.2660) Price                                0.118                                       (0.029) Price Related Chemicals 0.028                                         (0.003) Local Dummy                   0.039                                         (0.033) R^2                                   0.8022 ADJ. R^2                          0.7905 OBS                                        58 Note standard errors for each variable is in parenthesis below the corresponding variable. a. discuss the statistical significance of the parameters and the equation as a whole. b. what is the estimated value of the parameter? c. what would be different...
ADVERTISEMENT
Subjects
ADVERTISEMENT
Latest Questions
ADVERTISEMENT