Beruflich Dokumente
Kultur Dokumente
const
ersandp
Mean dependent var
Sum squared resid
R-squared
F(1, 61)
Log-likelihood
Schwarz criterion
rho
Coefficient
0.850664
1.1488
Std. Error
1.19584
0.339127
0.604042
5475.230
0.158333
11.47520
230.0361
468.3584
0.075881
t-ratio
-0.7114
3.3875
p-value
0.47958
0.00124
***
10.24319
9.474063
0.144535
0.001240
464.0721
465.7579
1.836330
= 0.158
Interpretation: 15.8% of the variation in the excess return of the GM Stock can be
explained by the regression (the variation in the excess return of S&P500 index)
Low R squared means the excess return of the GM stock doesnt act much like the
movement of the excess return of S&P500.
6. H0:
H1:
5% significance level or
We shall reject H0 if t-statistic > t(0.05,61)
t-statistic =
1.67
= 0.44
[
[0.471;1.827] is 95% Confidence Interval for the true
9. Test joint Hypothesis
H0:
and
H1:
and/or
On 5% significance level a=0.05
From GRETL, F-test(2;61) = 0.331 with p-value = 0.719
As p a (0.719 0.05) Cannot reject H0 on 5% significance level.
Exercise 2.