Exercice 1 Consider the extended CAPM model for OILWTI: =B+Br OILWTI. Question: Dependent Variable: OILWTI Method:...
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Exercice 1 Consider the extended CAPM model for OILWTI: =B+Br OILWTI. Question: Dependent Variable: OILWTI Method: Least Squares Date: 01/04/23 Time: 16:20 Sample: 1/14/2021 8/20/2021 Included observations: 052 Variable S_P_500 EPU C 1 2 SP 500,t R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) Coefficient + Br 3 EPU,t Std. Error 1-Statistic Prob. 0.001520 15.24139 0.0000 0.005208 -0.947885 0.3447 0.0000 + & 0.023164 -0.004937 -30.15398 6.583429 -4.580284 Mean dependent var 0.654017 0.649373 S.D. dependent var 3.584376 Akaike info criterion 1914.315 Schwarz criterion -408.2045 0.000000 Hannan-Quinn criter. Durbin-Watson stat 64.70849 6.053281 5.410585 5.470267 5.434830 0.155805 A. Compute the global F-test. B. We want to test the beta as Ho: B₂ B3 = 0 and if F critical = 19.47 we accept or reject the null hypotheses. C. Determine the overall significance of the model. Exercice 1 Consider the extended CAPM model for OILWTI: =B+Br OILWTI. Question: Dependent Variable: OILWTI Method: Least Squares Date: 01/04/23 Time: 16:20 Sample: 1/14/2021 8/20/2021 Included observations: 052 Variable S_P_500 EPU C 1 2 SP 500,t R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) Coefficient + Br 3 EPU,t Std. Error 1-Statistic Prob. 0.001520 15.24139 0.0000 0.005208 -0.947885 0.3447 0.0000 + & 0.023164 -0.004937 -30.15398 6.583429 -4.580284 Mean dependent var 0.654017 0.649373 S.D. dependent var 3.584376 Akaike info criterion 1914.315 Schwarz criterion -408.2045 0.000000 Hannan-Quinn criter. Durbin-Watson stat 64.70849 6.053281 5.410585 5.470267 5.434830 0.155805 A. Compute the global F-test. B. We want to test the beta as Ho: B₂ B3 = 0 and if F critical = 19.47 we accept or reject the null hypotheses. C. Determine the overall significance of the model.
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A The global Ftest is 191431 B The Fstatistic is 191431 ... View the full answer
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