Dr 9 LTEA I 91 OPRE 207 Problem Set #10 Due April 24th [N STRUCI' IONS FOR ALL HOMEWORK ASSIGNMENTS: Please indicate how you obtained your answer. 1. Consider the CAPM model for Microsoft: (sample size = 64) Y: Microsoft risk adjusted return X: risk adjust return of the market Using this regression output to answer following questions: a. Do a hypothesis test on [30 = 0 b. Construct a 95% condence interval for BI Standard Coefficients Error Intercept 0.001146 0.007199 Market 1.042275 0.144518 2. We want to study how parent's heights affect children's height. Consider the regression model of Y=student's height (ft) on X1=mother's height (ft), X 2=Gender Dummy variable. (female=0, male =1): Y = [30 + ,8le + HZXZ (a) If the mother's height is 5.5 feet, what is your best prediction for the student's height, if the student is a male? What is the approximated 95% condence interval for this prediction? (b) How to interpret the estimation of two coefficients .31 and .82 in the following table? (c) What is the RSquare, Radjusted and F-stat for this regression? (d) Do a 2-sided t-test on .31 at the signicance level of 0.05. (e) Create and interpret a 90% condence interval for .61. SUMMARY OUTPUT SUM MARY OUTPUT Regression Statistics Multiple R 0.?5477963 R Square 056969229 Adjusted R Square (1560999205 Standard Error 0235778733 Observations 102 2:414@ X IO OLTE 90% ANOVA If SS MS F Significance F Regression 2 7.286276842 3.643138 65.53396 7.44847E-19 Residual 99 5.503569482 0.055592 Total 101 12.78984632 Coefficients Standard Error Intercept 3.490883673 0.564315367 Mother's Height 0.35168269 0.105692816 Gender 0.504827223 0.047643565