The Original Regression table is (this is part a) : f. In light of the test abov
ID: 3296641 • Letter: T
Question
The Original Regression table is (this is part a) :
f. In light of the test above, the researcher estimates the model again and obtains the following output Dependent Variable: PORTFOLIO Method: ML ARCH - Normal distribution (BFGS/ Marquardt steps) Date: 11/06/16Time: 18:01 Sample: 1980M10 2010M12 Included observations: 363 Convergence achieved after 21 iterations Coefficient covariance computed using outer product of gradients Presam ple variance: backcast (parameter = 0.7) GARCH C(6) C(7)*RESID(-1)A2 + C(8*GARCH(-1) Variable Coefficient Std. Error z-Statistic Prob MARKET SIZE VALUE MOMENTUM 0.002769 0.631644 0.800462 0.142100 0.094843 0.001711 0.031655 0.049037 0.040938 0.039615 1.619012 19.95411 16.32366 3.471102 2.394127 0.1054 0.0000 0.0000 0.0005 0.0167 Variance Equation 0.000168 0.248182 0.620088 2.235087 4.072001 6.562115 0.0254 0.0000 0.0000 7.53E-05 RESID(-1)A2 GARCH(-1) 0.060948 0.094495 R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat 0.597729 0.593234 0.034528 0.426796 735.7928 1.555588 Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter. 0.010881 0.054137 4.009878 3.924051 3.975762 Comment of the significance of the variables MOMENTUM and SIZE and provide an intuitive explanation of the different standard errors of these coefficients with respect to part aExplanation / Answer
In regression analysis
the null hypothesis is
Ho: there is not significant effect of predictor variable. that is the coefficient of corresponding predictor variable is zero.
Decision Rule:
1) If p-value < level of significance (alpha) then we reject null hypothesis
2) If p-value > level of significance (alpha) then we fail to reject null hypothesis.
suppose alpha = 1% = 0.01.
p-value of coefficient of MOMENTUM is 0.0167 is greater than the alpha. Hence we used second rule.
that is we failed to reject null hypothesis
that is there is no relationship of MOMENTUM with response variable in this multiple regression analysis.
and
p-value of SIZE is less than the alpha. Hence we used first rule.
we reject the null hypothesis. that is there is a significant effect of SIZE variable.
That is there is relationship of SIZE with response variable in this multiple regression analysis.
Related Questions
drjack9650@gmail.com
Navigate
Integrity-first tutoring: explanations and feedback only — we do not complete graded work. Learn more.