Question
In: Statistics and Probability
A regression model was developed relating the 5-year average return (Y in %) of mutual funds...
A regression model was developed relating the 5-year average return (Y in %) of mutual funds with two independent variables: Net Asset Value and Expense Ratio (in %) of the funds. Part of the regression results are shown below.
|
df |
SS |
MS |
|
|
Regression |
2 |
1197.092 |
598.546 |
|
Residual |
34 |
1784.290 |
52.479 |
|
Total |
36 |
2981.382 |
|
|
Coefficients |
Standard Error |
||
|
Intercept |
0.280 |
3.221 |
|
|
Net Asset Value |
0.171 |
0.085 |
|
|
Expense Ratio (%) |
11.135 |
3.659 |
1. What is the value of the F test statistic for testing whether the regression model overall is significant? (2 Points)
2. What is the rejection rule for testing whether the regression model is significant at the 0.05 level of significance? Use the critical value approach. (2 Points)
3. Is the regression model significant? Please briefly explain. (2 Points)
4. What is the value of the t test statistic for testing whether the variable Expense Ratio is significant? (2 Points)
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Solutions
orchestra answered 2 years agoRelated Solutions
A computer manufacturer has developed a regression model relating his sales (Y in $10,000s) with three...
A computer manufacturer has developed a regression model
relating his sales (Y in $10,000s) with three independent
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(Price in $100s), advertising (ADV in $1,000s) and the number of
product lines (Lines). Part of the regression results is shown
below.
Coefficient
Standard Error
Intercept
1.0211
22.8752
Price
-0.1524
0.1411
ADV
0.8849
0.2886
Lines
-0.1463
1.5340
Analysis of Variance
Source of
Variation
Degrees
of Freedom
Sum of
Squares
Regression
2708.61
Error (Residuals)
Required:...
A computer manufacturer has developed a regression model relating his sales (Y in $10,000s) with three...
A computer manufacturer has developed a regression model
relating his sales (Y in $10,000s) with three independent
variables. The three independent variables are price per unit
(Price in $100s), advertising (ADV in $1,000s) and the number of
product lines (Lines). Part of the regression results is shown
below.
Coefficient
Standard Error
Intercept
1.0211
22.8752
Price
-0.1524
0.1411
ADV
0.8849
0.2886
Lines
-0.1463
1.5340
Analysis of Variance
Source of
Variation
Degrees
of Freedom
Sum of
Squares
Regression
2708.61
Error (Residuals)
Required:...
The following tables shows 5 year returns of different funds Mutual Fund Annual Return (%) Year...
The following tables shows 5 year returns of different funds
Mutual Fund
Annual Return (%)
Year 1
Year 2
Year 3
Year 4
Year 5
Stocks
12.01
11.22
13.47
45.42
-21.93
Bonds
17.64
4.25
7.51
-1.33
7.36
Aggressive Growth
32.41
18.71
30.09
41.46
-23.26
Aggressive Value
32.36
20.61
12.93
7.06
-5.37
Moderate Growth
33.44
19.40
6.77
58.68
-9.02
Moderate Value
24.56
25.32
-6.70
5.43
17.31
Let’s assume the minimum return every year across all the funds
is M. This means...
The following estimated regression equation was developed relating yearly income (y in $1000s) of 30 individuals...
The following estimated regression equation was developed
relating yearly income (y in $1000s) of 30 individuals with their
age (x1) and their gender (x2) (0 if male and 1 if female). Ŷ = 30
+ .7x1 + 3x2 Also provided are SST = 1200 and SSE = 384. The test
statistic for testing the significance of the model is
The following estimated regression equation was developed relating yearly income (y in $1000s) of 30 individuals...
The following estimated regression equation was developed
relating yearly income (y in $1000s) of 30 individuals
with their age (x1) and their gender
(x2) (0 if male and 1 if female).
Ŷ = 30 + .7x1 + 3x2
Also provided are SST = 1200 and SSE = 384. If we want to test for
the significance of the model, the critical value of F at
α = .05 is
a. 3.33.
b. 3.35.
c. 3.34.
d. 2.96.
The average annual total return for U.S. Diversified Equity mutual funds from 1999 to 2003 was...
The average annual total return for U.S. Diversified Equity
mutual funds from 1999 to 2003 was 4.1%. A researcher would like to
conduct a hypothesis test to see whether the returns for mid-cap
growth funds over the same period are significantly different from
the average for U.S. Diversified Equity funds. A sample of 40
midcap growth funds provides a mean return of 3.4%. Assume that the
population standard deviation for mid-cap growth funds is known
from previous studies to be...
Rates of return on 24 mutual funds are shown. Fund 12-Mo. 5-Year 1 7.9 4.0 2...
Rates of return on 24 mutual funds are shown.
Fund
12-Mo.
5-Year
1
7.9
4.0
2
2.9
3.4
3
14.2
7.9
4
5.5
9.8
5
5.1
6.9
6
10.2
12.1
7
3.7
7.8
8
7.8
11.4
9
10.4
15.1
10
12.6
5.5
11
10.0
9.4
12
13.4
2.7
13
-0.7
12.2
14
5.3
4.8
15
21.1
13.2
16
11.7
4.7
17
-1.8
6.4
18
-2.7
-2.7
19
13.7
8.3
20
11.2
8.5
21
8.9
5.0
22
0.9
6.2
23
1.2...
(a) Fit a simple linear regression model relating gasoline mileage (y) to engine displacement (x1) and carburetor (x2).
Here is the data Stat7_prob4.R :
y=c(18.90, 17, 20, 18.25, 20.07, 11.2, 22.12, 21.47, 34.70,
30.40, 16.50, 36.50, 21.50, 19.70, 20.30, 17.80, 14.39, 14.89,
17.80, 16.41, 23.54, 21.47, 16.59, 31.90, 29.40, 13.27, 23.90,
19.73, 13.90, 13.27, 13.77, 16.50)
x1=c(350, 350, 250, 351, 225, 440, 231, 262, 89.7, 96.9, 350,
85.3, 171, 258, 140, 302, 500, 440, 350, 318, 231, 360, 400, 96.9,
140, 460, 133.6, 318, 351, 351, 360, 350)
x2=c(4, 4, 1, 2, 1, 4, 2, 2, 2, 2,...
12. A mutual fund has earned an annual average return of 15% over the last 5...
12. A mutual fund has earned an annual average return of 15%
over the last 5 years. During that time, the average risk-free rate
was 2% and the average market return was 12% per year. The
correlation coefficient between the mutual fund’s and market’s
returns was 0.7. The standard deviation of returns was 30% for the
mutual fund and 22% for the market. What was the fund’s CAPM
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Stuck on this. Any help would be greatly appreciated.
A hospital administrator developed a regression line, y = 30 + 2x, to predict y =...
A hospital administrator developed a regression line, y
= 30 + 2x, to predict y = the number of full-time
employees (FTE) needed using x = the number of beds. The
slope of this regression line suggests this: __________.
for a unit increase in the number of beds, the number of FTEs is
predicted to increase by 32
for a unit increase in the number of beds, the number of FTEs is
predicted to decrease by 32
for a unit...
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