Question #64 - Reading 1 Multiple Regression

Reading: Reading 1 Multiple Regression

PDF File: Reading 1 Multiple Regression.pdf

Page: 30

Status: Unattempted

Correct Answer: A

Shared Context

- The percentage of the total variation in quarterly stock returns explained by the independent variables is closest to: A) 32%. B) 47%. C) 42%.

Question

Using a 5% level of significance, there is:

Answer Choices:

A. no evidence of serial correlation in the residuals

B. evidence of first-lag serial correlation in residuals

C. evidence of second-lag serial correlation in residuals

Explanation

n=160, k=3. For lag 1, p = 1. (n-k-p-1 = 155). Critical F-stat (1, 155) = 3.90. BG Stat for lag 1 is given as 3.15. We fail to reject the null of no serial correlation in residuals. For lag 2, critical F (2,154) = 3.05. BG stat for lag 2 is given as 3.22 and exceeds the critical value and hence we reject the null of no serial correlation at the 2nd lag.

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