Question #85

of 139 May Jones estimated a regression that produced the following analysis of variance (ANOVA) table: Source Sum of squares Degrees of freedom Mean square Regression 20 1 20 Error 80 40 2 Total 100 41 The values of R2 and the F-statistic for joint test of significance of all the slope coefficients are: A) R2 = 0.25 and F = 0.909. B) R2 = 0.20 and F = 10. C) R2 = 0.25 and F = 10. Dave Turner is a security analyst who is using regression analysis to determine how well two factors explain returns for common stocks. The independent variables are the natural logarithm of the number of analysts following the companies, Ln(no. of analysts), and the natural logarithm of the market value of the companies, Ln(market value). The regression output generated from a statistical program is given in the following tables. Each p-value corresponds to a two-tail test. Turner plans to use the result in the analysis of two investments. WLK Corp. has twelve analysts following it and a market capitalization of $2.33 billion. NGR Corp. has two analysts following it and a market capitalization of $47 million. Table 1: Regression Output Variable Coefficient Standard Error of the Coefficient t-statistic p-value Intercept 0.043 0.01159 3.71 < 0.001 Ln(No. of Analysts) −0.027 0.00466 −5.80 < 0.001 Ln(Market Value) 0.006 0.00271 2.21 0.028 Table 2: ANOVA Degrees of Freedom Sum of Squares Mean Square Regression 2 0.103 0.051 Residual 194 0.559 0.003 Total 196 0.662