Exam 4: Further Development and Analysis of the Classical Linear Regression Model

Which of the following is a correct interpretation of a "95% confidence interval" for a regression parameter?

Suppose you have 5-year annual data on the excess returns on a fund manager’s portfolio (“fund ABC”) and the excess returns on a market index (where is the return on fund ABC, is the risk-free rate and is the return on the market index): -What is the most appropriate interpretation of the assumption concerning the regression disturbance terms?

Which of the following is the most accurate definition of the term "the OLS estimator"?

Consider an increase in the size of the test used to examine a hypothesis from 5% to 10%. Which one of the following would be an implication?

Suppose you have calculated the following regression results: The standard errors of 1.22 and 0.58, respectively -Using the test of significance approach, what is the test statistic value of a hypothesis to test whether the true value ofstatistically different from zero?

What does a positive linear relationship between x and y in a simple regression imply?

Which of the following statements is correct concerning the conditions required for OLS to be a usable estimation technique?

Suppose you have 5-year annual data on the excess returns on a fund manager’s portfolio (“fund ABC”) and the excess returns on a market index (where is the return on fund ABC, is the risk-free rate and is the return on the market index): -The estimated alpha ( ) and beta ( ) of a rival fund, Fund DEF, are 2.3 and 3.1, respectively. If the expected market risk premium is 12%, what would we expect the excess return of Fund DEF to be?

Regression is concerned with describing and evaluating the relationship between

The type I error associated with testing a hypothesis is equal to

What is the relationship, if any, between the normal and t-distributions?

Which of the following is NOT correct with regard to the p-value attached to a test statistic?

Assuming there are 1000 observations in your sample, what are the test statistic and critical value of a two-sided hypothesis test of whether the true value of statistically different from zero be given a 5% significance level?

The method of estimating econometric models which involves fitting a line to the data by minimising the sum of squared residuals is the

Which of these is not a standard method for estimating econometric models?

Which of these is not a reason for adding a disturbance term to a regression model ?

Suppose you have 5-year annual data on the excess returns on a fund manager’s portfolio (“fund ABC”) and the excess returns on a market index (where is the return on fund ABC, is the risk-free rate and is the return on the market index): -Suppose that the unbiased estimator of the standard deviation of the disturbance (s) is 5.1. What is the nearest value to the standard errors of the estimated CAPM alpha ( ) of Fund ABC from question 6?

Which of the following is NOT a good reason for including a disturbance term in a regression equation?

Suppose you have 5-year annual data on the excess returns on a fund manager’s portfolio (“fund ABC”) and the excess returns on a market index (where is the return on fund ABC, is the risk-free rate and is the return on the market index): -The estimators and determined by OLS will be the Best Linear Unbiased Estimators (BLUE) if which of the following assumptions hold? (I) The errors have zero mean (II) The variance of the errors is constant and finite over all values of the independent variable(s) (III) The errors are linearly independent of one another (IV)There is no relationship between the error and corresponding independent variables

In a time series regression of the excess return of a mutual fund on a constant and the excess return on a market index, which of the following statements should be true for the fund manager to be considered to have "beaten the market" in a statistical sense?