An attempt was made to evaluate the forward rate as a predictor of the spot rate in the Canadian Treasury bill market. For a sample of 79 quarterly observations, the estimated linear regression: Y= 0.00027 + 0.7916 X was obtained, where Y= actual change in the spot rate X= change in the spot rate predicted by the forward rate The coefficient of determination was 0.097 and the estimated standard deviation of the estimator of the slope of the population regression line was 0.2759. a. Interpret the slope of the estimated regression line. b. Interpret the coefficient of determination. c. Test the null hypothesis that the slope of the population regression line is 0 against the alternative that the true slope is positive.

An attempt was made to evaluate the forward rate as a predictor of the spot rate in the Canadian Treasury bill market. For a sample of 79 quarterly observations, the estimated linear regression: Y= 0.00027 + 0.7916 X was obtained, where Y= actual change in the spot rate X= change in the spot rate predicted by the forward rate The coefficient of determination was 0.097 and the estimated standard deviation of the estimator of the slope of the population regression line was 0.2759. a. Interpret the slope of the estimated regression line. b. Interpret the coefficient of determination. c. Test the null hypothesis that the slope of the population regression line is 0 against the alternative that the true slope is positive.

MATLAB: An Introduction with Applications

6th Edition

ISBN:9781119256830

Author:Amos Gilat

Publisher:Amos Gilat

Chapter1: Starting With Matlab

Section: Chapter Questions

Problem 1P

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Concept explainers

Estimation

A new framework of data analysis where the new statistical methods are used for interpreting the results and analyzing the data is known as estimation in statistics.

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An attempt was made to evaluate the forward rate as a predictor of the spot rate in the Canadian Treasury bill market. For a sample of 79
quarterly observations, the estimated linear regression:
Y= 0.00027 + 0.7916 X was obtained, where
Y= actual change in the spot rate
X= change in the spot rate predicted by the forward rate
The coefficient of determination was 0.097 and the estimated standard deviation of the estimator of the slope of the population regression
line was 0.2759.
a. Interpret the slope of the estimated regression line.
b. Interpret the coefficient of determination.
c. Test the null hypothesis that the slope of the population regression line is 0 against the alternative that the true slope is positive.

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