Your work colleague has estimated a regression to predict the monthly return of a mutual fund (Y) based on the return of the S&P 500 (X). Your colleague expected that the "true" relationship is Y = 0.01 + (0.83)(X). The regression was estimated using 100 observations of prior monthly returns in excel and the following results for the variable X were shown in the excel output:

Coefficient: 1.14325

Standard error: 0.33138

t Stat: 3.44997

Should the hypothesis that the actual, true slope coefficient (i.e., the coefficient for X) is as your colleague expected be rejected at the 1% level? You decided to calculate a t-stat/z-score to test this, which you will then compare to the critical value of 2.58. What is the t-stat/z-score for performing this test? 

Answer rating: 100% (QA)

To test whether the actual true slope coefficient is as your coll... View the full answer