NO.PZ202304050200002902
问题如下：
You
are tasked with investigating whether there is any monthly seasonality in the
excess portfolio returns. You construct a regression model using dummy variables
for the months; your regression statistics and ANOVA results are shown in
Exhibit 2.
Determine using Exhibit 2 which one of the following
statements is most likely to be correct. Monthly seasonality in the firm’s
portfolio is________.
选项：
A.highly likely
highly unlikely
not able to be determined from the given data
解释：
B is correct. Monthly seasonality in the firm’s
portfolio is highly unlikely. The variance explained by the model (R-squared)
is only 10.3%, and after adjusting for the number of independent variables
(adjusted R-squared), it becomes negative. Also, the insignificant F-statistic
indicates a 56.3% chance that all variable coefficients are zero. Finally,
t-statistics and associated p-values indicate that all the variable
coefficients are insignificant (i.e., not significantly different from zero). Consequently,
monthly seasonality is highly unlikely to exist in this portfolio.
表格中的significance of F是什么统计量啊？麻烦老师解答一下，谢谢！
