Describe a procedure to test whether White's covariance estimator is required. Consider the APT regressionR = a + BmRm,t + BsmbR5mb,t + Bhml Rhml,t + Et,here R is the excess return on the market, Rsmb.t is the return on the size factor, Rhml.tis the return on value factor and R is an excess return on a portfolio of assets. Using them,tinformation provided in the tables below below, answer the following questions:

In this problem, we are examining the APT (Arbitrage Pricing Theory) regression model, which relates…

Answered: Consider the APT regression R² = a +…

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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a) Write out the regression equation. b) Fill in the missing values *, **, *** and ****. c) Use the p-value approach to determine if ? is significant at the 5% significance level
The U.S. Postal Service is attempting to reduce the number of complaints made by the public against its workers. To facilitate this task, a staff analyst for the service regresses the number of complaints lodged against an employee last year on the hourly wage of the employee for the year. The analyst ran a simple linear regression in SPSS. The results are shown below. The current minimum wage is $5.15. If an employee earns the minimum wage, how many complaints can that employee expect to receive? Is the regression coefficient statistically significant? How can you tell?
The state education commission wants to estimate the fraction of tenth grade students that have reading skills at or below the eighth grade level. Suppose a sample of 2552 tenth graders is drawn. Of the students sampled, 2119 read above the eighth grade level. Using the data, estimate the proportion of tenth graders reading at or below the eighth grade level. Enter your answer as a fraction or a decimal number rounded to three decimal places.
Use the Financial database from “Excel Databases.xls” on Blackboard. Use Total Revenues, Total Assets, Return on Equity, Earnings Per Share, Average Yield, and Dividends Per Share to predict the average P/E ratio for a company. Use Excel to develop the multiple linear regression model. Assume a 5% level of significance. Which independent variable is the strongest predictor of the average P/E ratio of a company? A. Total Revenues B. Average Yield C. Earnings Per Share D.Return on Equity E. Total Assets F.Dividends Per Share Company Type Total Revenues Total Assets Return on Equity Earnings per Share Average Yield Dividends per Share Average P/E Ratio AFLAC 6 7251 29454 17.1 2.08 0.9 0.22 11.5 Albertson's 4 14690 5219 21.4 2.08 1.6 0.63 19 Allstate 6 20106 80918 20.1 3.56 1 0.36 10.6 Amerada Hess 7 8340 7935 0.2 0.08 1.1 0.6 698.3 American General 6 3362 80620 7.1 2.19 3 1.4 21.2 American Stores 4 19139 8536 12.2 1.01 1.4 0.34 23.5 Amoco 7 36287…
a. Estimate the regression line and also write the prediction equation. y = 83.4578-5.8795 x y = 5.8795 + 83.4578 x ŷ ŷ= = -5.8795 + 83.4578 x = 83.4578 + 5.8795 x
The number of initial public offerings of stock issued in a 10-year period and the total proceeds of these offerings (in millions) are shown in the table. Construct and interpret a 95% prediction interval for the proceeds when the number of issues is 563. The equation of the regression line is y = 31.554x + 18,074.624. Issues, x 405 458 690 482 492 389 53 53 190 156 Proceeds, y 17,788 28,282 43,709 30,030 36,947 36,625 22,282 10,561 31,747 29,048 Construct and interpret a 95% prediction interval for the proceeds when the number of issues is 563) Select the correct choice below and fill in the answer boxes to complete your choice. (Round to the nearest million dollars as needed. Type your answer in standard form where."3.12 million" means 3,120,000.) 1 O A. We can be 95% confident that when there are 563 issues, the proceeds will be between $ OB. There is a 95% chance that the predicted proceeds given 563 issues is between $ and S and $
In multiple regression, when all independent variables are considered but the order in which they are added to the model is determined by the amount it contributes to the dependent variable, it is called: a.Two step b.Stepwise c.Simultaneous d.Backward step
b. Add in the table provided in the spreadsheet a dummy variable that takes the value of 1in the fourth quarter of each year and show the table with all the data c. Using the data provided in the spreadsheet including the dummy variable you have created for the fourth quarter of each year run a regression with dependent variable the CBC house price index and independent variables the other three variables (Nominal GDP, Number of Households, and the dummy variable for the fourth quarter). Present the typical regression results output for this regression produced by Excel. d. Explain what the particular numbers for the following statistics that you presented in b) mean (no points will be given if you write general definitions without interpreting the particular numbers that you have presented): a. R-squared b. The t-statistics of the three independent variables c. The coefficients of the three independent variables e. Discuss if the signs that you get for the coefficients of each of the…
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