Question #84 - Reading 2 Time-Series Analysis

Reading: Reading 2 Time-Series Analysis

PDF File: Reading 2 Time-Series Analysis.pdf

Page: 41

Status: Unattempted

Shared Context

- What is most likely represented by the intercept of the regression? A) The drift of a random walk. B) The return on a particular trading day. C) The intercept is not a driver of returns, only the independent variables.

Question

What can be said of the overall explanatory power of the model at the 5% significance?

Answer Choices:

A. The coefficient of determination for the above regression is significantly higher than the standard error of the estimate, and therefore there is value to calendar trading

B. There is value to calendar trading

C. There is no value to calendar trading

Explanation

This question calls for a computation of the F-stat. F = (0.0039/4)/(0.9534/(780−4−1) = 0.79. The critical F is somewhere between 2.37 and 2.45 so we fail to reject the Null that all the coefficients are equal to zero.

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