NO.PZ2015120204000019
问题如下：
Excess stock market returnt=a0+a1Default spreadt-1+a2Term spreadt-1+a3Pres party dummyt-1+et
Default spread is equal to the yield on Baa bonds minus the yield on Aaa bonds. Term spread is equal to the yield on a 10-year constant-maturity US Treasury index minus the yield on a 1-year constant-maturity US Treasury index. Pres party dummy is equal to 1 if the US President is a member of the Democratic Party and 0 if a member of the Republican Party.
The regression is estimated with 431 observations.
Exhibit 1.Multiple Regression Output
Exhibit 2. Table of the F-Distribution (Critical Values for Right-Hand Tail Area Equal to 0.05) Numerator: df1 and Denominator: df2
Is the regression model as a whole significant at the 0.05 level?
选项：
A. No, because the calculated F-statistic is less than the critical value for F.
B. Yes, because the calculated F-statistic is greater than the critical value for F.
C. Yes, because the calculated χ2 statistic is greater than the critical value for χ2.
解释：
B is correct.
The F-test is used to determine if the regression model as a whole is significant.
F = Mean square regression (MSR) ÷ Mean squared error (MSE)
MSE = SSE/[n – (k + 1)] = 19,048 ÷ 427 = 44.60
MSR = SSR/k = 1071 ÷ 3 = 357
F = 357 ÷ 44.60 = 8.004
The critical value for degrees of freedom of 3 and 427 with α=0.05 (one-tail) is F = 2.63 from Exhibit 2. The calculated F is greater than the critical value, and Chiesa should reject the null hypothesis that all regression coefficients are equal to zero.
老师没有找到题目中k=3
