1. Math
  2. Statistics And Probability
  3. let y and x be weekly excess returns of a...

Question: let y and x be weekly excess returns of a...

Question details

Let Y and X be weekly excess returns of a US firm and S&P 500 index for the past two years, respectively. The regression output for this data set in shown in the table below: (You can actually download similar data from http://finance.yahoo.com/) Variable Coefficient Intercept -0.008194 1.690067 t-value p-value 0.0282 12.392<2×10-16 s.e. 0.003680-2.22 7 0.136379 n 103 R 0.6033 s 0.03734

Suppose that the model satisfies the usual SLR model assumptions, and that the SST for Y is 0.355. (i) what were the degrees of freedom used in calculating s? What are the SSE and SSR?

Solution by an expert tutor
Blurred Solution
This question has been solved
Subscribe to see this solution