The above is a regression outputs for a stock return of a bank (RMQG) against the market return (RORD), interest rate (INTEREST), unemployment rate (UNEM 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 (%). The full model can be written as RMQG = B₁ + B₂RORD + B3INEREST + B₁UNEMP + B5RTWD + e One regression result is associated with restricted regression and the other with unrestricted regression. What is the restricted least-squares estimate of B4? Select one: O a. -0.363

ENGR.ECONOMIC ANALYSIS
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Chapter1: Making Economics Decisions
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Ⓒ Equation: EQ01 Workfile: TEMP::Untitled\
View Proc Object Print Name Freeze Estimate Forecast Stats Resids
Dependent Variable: RMQG
Method: Least Squares
Date: 06/30/20 Time: 16:55
Sample (adjusted): 2010M02 2019M12
Included observations: 119 after adjustments
Variable
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
с
RORD
INTEREST
UNEMP
RTWD
Select one:
a. -0.363
O C.
O b. 0.00
O d.
Coefficient Std. Error
t-Statistic Prob.
-5.299928 7.471802 -0.709324 0.4796
1.224135 0.145467 8.415219 0.0000
-0.696999
0.0842
1.391149
0.400044 -1.742307
1.265579 1.099220
0.206116 -1.757011
0.2740
-0.362148
0.0816
-0.362
0.426338 Mean dependent var
0.406210 S.D. dependent var
4.763334 Akaike info criterion
2586.586 Schwarz criterion
-352.0524 Hannan-Quinn criter.
21.18086 Durbin-Watson stat
0.000000
1.363
X
0.863578
6.181510
6.000881
6.117651
6.048298
1.892017
Ⓒ Equation: UNTITLED Workfile: TEMP::Untitled\
View Proc Object Print Name Freeze Estimate Forecast Stats Resids
Dependent Variable: RMQG-RTWD
Method: Least Squares
Date: 08/12/20 Time: 17:27
Sample (adjusted): 2010M02 2019M12
Included observations: 119 after adjustments
Variable
C
RORD
INTEREST
UNEMP-RTWD
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
The above is a regression outputs 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 (%).
The full model can be written as
RMQG = B₁ + B2RORD + B3INEREST + BÄUNEMP + ß5 RTWD+e
One regression result is associated with restricted regression and the other with unrestricted regression.
What is the restricted least-squares estimate of B4?
Coefficient
Std. Error
t-Statistic Prob.
-5.138856 1.713681 -2.998724 0.0033
1.224408 0.144313 8.484410 0.0000
-0.700155 0.372188 -1.881187 0.0625
1.363456 0.196620 6.934462 0.0000
0.467316 Mean dependent var
0.453419 S.D. dependent var
4.742589 Akaike info criterion
2586.597
Schwarz criterion
-352.0527 Hannan-Quinn criter.
33.62923 Durbin-Watson stat
0.000000
0.979266
6.414878
5.984079
6.077495
6.022012
1.892152
Transcribed Image Text:Ⓒ Equation: EQ01 Workfile: TEMP::Untitled\ View Proc Object Print Name Freeze Estimate Forecast Stats Resids Dependent Variable: RMQG Method: Least Squares Date: 06/30/20 Time: 16:55 Sample (adjusted): 2010M02 2019M12 Included observations: 119 after adjustments Variable R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) с RORD INTEREST UNEMP RTWD Select one: a. -0.363 O C. O b. 0.00 O d. Coefficient Std. Error t-Statistic Prob. -5.299928 7.471802 -0.709324 0.4796 1.224135 0.145467 8.415219 0.0000 -0.696999 0.0842 1.391149 0.400044 -1.742307 1.265579 1.099220 0.206116 -1.757011 0.2740 -0.362148 0.0816 -0.362 0.426338 Mean dependent var 0.406210 S.D. dependent var 4.763334 Akaike info criterion 2586.586 Schwarz criterion -352.0524 Hannan-Quinn criter. 21.18086 Durbin-Watson stat 0.000000 1.363 X 0.863578 6.181510 6.000881 6.117651 6.048298 1.892017 Ⓒ Equation: UNTITLED Workfile: TEMP::Untitled\ View Proc Object Print Name Freeze Estimate Forecast Stats Resids Dependent Variable: RMQG-RTWD Method: Least Squares Date: 08/12/20 Time: 17:27 Sample (adjusted): 2010M02 2019M12 Included observations: 119 after adjustments Variable C RORD INTEREST UNEMP-RTWD R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) The above is a regression outputs 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 (%). The full model can be written as RMQG = B₁ + B2RORD + B3INEREST + BÄUNEMP + ß5 RTWD+e One regression result is associated with restricted regression and the other with unrestricted regression. What is the restricted least-squares estimate of B4? Coefficient Std. Error t-Statistic Prob. -5.138856 1.713681 -2.998724 0.0033 1.224408 0.144313 8.484410 0.0000 -0.700155 0.372188 -1.881187 0.0625 1.363456 0.196620 6.934462 0.0000 0.467316 Mean dependent var 0.453419 S.D. dependent var 4.742589 Akaike info criterion 2586.597 Schwarz criterion -352.0527 Hannan-Quinn criter. 33.62923 Durbin-Watson stat 0.000000 0.979266 6.414878 5.984079 6.077495 6.022012 1.892152
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