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

Two researchers have identical models, data, coefficients and standard error estimates. They test the same hypothesis using a two-sided alternative, but researcher 1 uses a 5% size of test while researcher 2 uses a 10% test. Which one of the following statements is correct?

Consider a bivariate regression model with coefficient standard errors calculated using the usual formulae. Which of the following statements is/are correct regarding the standard error estimator for the slope coefficient? (I) It varies positively with the square root of the residual variance (s) (ii) It varies positively with the spread of X about its mean value (iii) It varies positively with the spread of X about zero (iv) It varies positively with the sample size T

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): -Given the data in question 6, what is the estimated beta ( ) of Fund ABC?

Which one of the following is NOT an assumption of the classical linear regression model?

What result is proved by the Gauss-Markov theorem?