Stock Index and overseas returns by the annual rate of return on the Morgan Stan

Question

Stock Index and overseas returns by the annual rate of return on the Morgan Stanley EAFE (Europe, Australasia, Far East) index. Both are recorded in percents. Regress the EAFE returns on the S&P 500 returns for the 28 years 1972 to 2000. Here is part of the output for this regression. The regression equation is EAFE = 4.95 + 0.637 S&P. (Round your answer for F to two decimal places and your answers for SS and MS to one decimal place.) for

Complete the analysis of variance table by filling in the missing boxes.

Analysis of Variance Source DF SS MS F Regression 1 1431 1431 Residual Error Total 27 13263.1

Explanation / Answer

DF(Residual error,n-k)=n-1-k-1=27-1=26

SSE=SST-SSR=13263.1-1431=11832.1

MSE=SSE/n-k=11832.1/26=455.08

F=MSTR/MSE=1431/455.08=3.14

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