Quant Focus 2019

Question 1

Violations of multiple regression (summary chart)

• what is violation?
• effect?
• detection?
• solution?

Answer 1

Question 2

h._distinguish between and interpret the R2 and adjusted R2 in multiple regression;

Adjusted R²

Answer 2

Adjusted-R²

• Always Less than R² b/c k is always greater than zero
• Can be negative
• High aR² value doesn’t

Question 3

ANOVA table

• what’s included in table?
• How to derive:
  
  • F-stat
  • SEE
  • R² (also comparison to aR²)

Answer 3

Question 4

Regression Misspecifications

What are the six types of Model Misspecification and what’s their impact?

Answer 4

Question 5

Multiple regression

• Confidence interval for regression coefficients: use n – (k+1) degrees of freedom
• Hypothesis test on each regression coefficient: use n – (k+1) degrees of freedom

Answer 5