Question #99

Reading: Reading 1 Multiple Regression

PDF File: Reading 1 Multiple Regression.pdf

Page: 48

Status: Unattempted

Part of Context Group: Q99-100 First in Group
Shared Context
- The best test for unconditional heteroskedasticity is: A) the Breusch-Godfrey test only. B) the Breusch-Pagan test only. C) neither the Durbin-Watson test nor the Breusch-Pagan test.
Question
In the month of January, if both the small and large capitalization index have a zero return, we would expect the fund to have a return equal to:
Answer Choices:
A. 2.799
B. 2.561
C. 2.322
Explanation
The forecast of the return of the fund would be the intercept plus the coefficient on the January effect: 2.322 = -0.238214 + 2.560552.
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