NO.PZ2022062760000011
问题如下:
A risk manager has estimated a regression of a firm’s monthly portfolio returns against the returns of three US
domestic equity indexes: the Russell 1000 Index, the Russell 2000 Index, and the Russell 3000 Index. The
results are shown below:
Based on the regression results, which statement is correct?
选项:
A.
The estimated coefficient of 0.3533 indicates that the returns of the Russell 3000 Index are more
statistically significant in determining the portfolio returns than the other two indexes.
B.
The high adjusted R2
indicates that the estimated coefficients on the Russell 1000, Russell 2000, and
Russell 3000 Indexes are statistically significant.
C.
The high p-value of 0.9452 indicates that the regression coefficient of the returns of the Russell 1000
Index is more statistically significant than the other two indexes.
D.
The high correlations between each pair of index returns indicate that multicollinearity exists between the
variables in this regression.
解释:
中文解析:
这是多重共线性的一个例子,当其中一个回归变量与其他回归变量高度相关时,就会出现这种情况。在这种情况下,所有三个回归变量都高度相关,因此这三个回归变量之间存在多重共线性。由于变量之间并不完全相关,这是一个不完美的情况,而不是完美的多重共线性。
This is an example of multicollinearity, which arises when one of the regressors is very
highly correlated with the other regressors. In this case, all three regressors are highly
correlated with each other, so multicollinearity exists between all three. Since the
variables are not perfectly correlated with each other this is a case of imperfect, rather
than perfect, multicollinearity.
麻烦老师把每个选项都解答下,方便找一下差异点,谢谢