APPLIED QUANTITATIVE FINANCE 3. You are given the value of beta, 0.32, and the value of...

APPLIED QUANTITATIVE FINANCE

3. You are given the value of beta, 0.32, and the value of its standard error, 0.12. The model is estimated over 40 observations.

a. Write the null (beta is not significant) and alternative hypotheses. Test the null hypothesis against a two-sided alternative.

b. Obtain and interpret a 99% confidence interval for beta.

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TOPIC:Test for the significance of the slope parameter and finding the required confidence interval.

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You are given the value of beta, 0.32, and the value of its standard error, 0.12....

You are given the value of beta, 0.32, and the value of its standard error, 0.12. The model is estimated over 40 observations. a. Write the null (beta is not significant) and alternative hypotheses. Test the null hypothesis against a two-sided alternative. [20 marks] b. Obtain and interpret a 99% confidence interval for beta. [20 marks

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