Your work colleague has estimated a regression to predict the monthly return of a mutual fund (Y)
Question:
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?
Holt McDougal Larson Geometry
ISBN: 9780547315171
1st Edition
Authors: Ron Larson, Laurie Boswell, Timothy D. Kanold, Lee Stiff