NO.PZ2023091601000125
问题如下：
1.1
A risk manager has
estimated a regression of a firm’s monthly portfolio returns against the
returns of three U.S. 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 Russell 1000 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：
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.
為什麼A reject 就不顯著。C reject就顯著呢？
