correlation and regression 书后12题
Golub directs his assistant, Jill Batten, to study the relationships between Stellar monthly common stock returns versus the previous month’s percent change in the US Consumer Price Index for Energy (CPIENG), and Stellar monthly common stock returns versus the previous month’s percent change in the US Producer Price Index for Crude Energy Materials (PPICEM). Golub wants Batten to run both a correlation and a linear regression analysis. In response, Batten compiles the summary statistics shown in Exhibit 1 for the 248 months between January 1980 and August 2000. All of the data are in decimal form, where 0.01 indicates a 1 percent return. Batten also runs a regression analysis using Stellar monthly returns as the dependent variable and the monthly change in CPIENG as the independent variable. Exhibit 2 displays the results of this regression model.
(Institute 309)
12
Did Batten’s regression analyze cross-sectional or time-series data, and what was the expected value of the error term from that regression?
| Data Type | Expected Value of Error Term | |||
| A | Time-series | 0 | ||
| B | Time-series | εi | ||
| C | Cross-sectional | 0 |
(Institute 310-311)
关于time-series 教材定义原文是
Time-series data use many observations from different time periods for the same company, asset class, investment fund, person, country, or other entity, depending on the regression model
(Institute 278)
而题目是研究一只股票和一个指数的关系，严格从定义来看，这似乎即不满足cross series 也不满足time-series（研究的不同时期的不是同一公司的数据）？
另expected value of error term=0是怎么判断的？看t检验回归关系是否成立？
