q13- Dependent Variable: RMQGMethod: Least SquaresDate: 06/30/20 Time: 16:55Sample (adjusted): 2010M02 2019M12Included observations: 119 after adjustmentsCoefficient Std. Error t-Statisticс-5.299928 7.471802 -0.709324RORD1.224135 0.145467 8.415219INTEREST-0.696999 0.400044 -1.742307AMUNEMPRTWD0.426338 Mean dependent varAdjusted R-squared.0.406210 S.D. dependent varS.E. of regression4.763334 Akaike info criterionSum squared resid2586.586 Schwarz criterion-352.0524 Hannan-Quinn criter.21.18086 Durbin-Watson stat0.000000VariableR-squaredLog likelihoodF-statisticProb(F-statistic)Prob.Select one:0.47960.00000.08421.391149 1.265579 1.099220 0.2740-0.362148 0.206116 -1.757011 0.0816The above is a regression output for a stock return of a bank (RMQG) against the market return (RORD), interest rate (INTEREST), unemployment rate (UNEMP), and change in (trade-weighted) exchange rate (RTWD) of Australia using the monthly data from 2010 to 2019 (119observations). All variables are expressed in percentages (%).a. 0.0842O b. 0.0421O C.0.2740O d. 0.00000.8635786.1815106.0008816.1176516.0482981.892017What is the p-value for the nulll hypothesis that the coefficient of interest rate is equal to 0 ainst the two-tailed alternative?

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ENGR.ECONOMIC ANALYSIS

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Chapter1: Making Economics Decisions

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Problem 1QTC

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q13-

Dependent Variable: RMQG
Method: Least Squares
Date: 06/30/20 Time: 16:55
Sample (adjusted): 2010M02 2019M12
Included observations: 119 after adjustments
Coefficient Std. Error t-Statistic
с
-5.299928 7.471802 -0.709324
RORD
1.224135 0.145467 8.415219
INTEREST
-0.696999 0.400044 -1.742307
AM
UNEMP
RTWD
0.426338 Mean dependent var
Adjusted R-squared.
0.406210 S.D. dependent var
S.E. of regression
4.763334 Akaike info criterion
Sum squared resid
2586.586 Schwarz criterion
-352.0524 Hannan-Quinn criter.
21.18086 Durbin-Watson stat
0.000000
Variable
R-squared
Log likelihood
F-statistic
Prob(F-statistic)
Prob.
Select one:
0.4796
0.0000
0.0842
1.391149 1.265579 1.099220 0.2740
-0.362148 0.206116 -1.757011 0.0816
The above is a regression output for a stock return of a bank (RMQG) against the market return (RORD), interest rate (INTEREST), unemployment rate (UNEMP), and change in (trade-weighted) exchange rate (RTWD) of Australia using the monthly data from 2010 to 2019 (119
observations). All variables are expressed in percentages (%).
a. 0.0842
O b. 0.0421
O C.
0.2740
O d. 0.0000
0.863578
6.181510
6.000881
6.117651
6.048298
1.892017
What is the p-value for the nulll hypothesis that the coefficient of interest rate is equal to 0 ainst the two-tailed alternative?

Expert Solution

P Value

In the given regression results , it gives 4 key values corresponding to each explanatory variables:

Coefficient : It is the estimated coefficient of the corresponding explanatory variable

Standard Error : it is the standard error of the coefficient of the corresponding explanatory variable

t- statistics : it is nothing but ; (estimated coefficient value / standard error of the coefficient of the corresponding explanatory variable)

- This T value is corresponding to the null hypothesis which states that the given explanatory variable have no impact on the dependent variable => coefficient of the explanatory random variable is 0

Probability: It is just P(t > estimated coefficient value) + P(t < estimated coefficient value) ; these probability can be found from the t - distribution table. We also call it the P- Value

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