Quantitative

Question 1

♦QUANT♦ Correl

Answer 1

Covar x,y / Sx Sy

Question 2

♦QUANT♦ T-test (with n-2 df and two tailed)

Answer 2

r * √ n-2 / √ 1 - r²

Question 3

♦QUANT♦ Slope

Answer 3

Covar x,y / Var x

Question 4

♦QUANT♦ Confidence Interval

Answer 4

Y +- tc x SE

bj +- tc x SEj

Question 5

♦QUANT♦ ANOVA

Answer 5

Question 6

♦QUANT♦ Mean reverting level

Answer 6

b0 / ( 1 - b1) If b1 = 1, then unit root / random walk

Question 7

♦QUANT♦ Heteroskedasticity

Answer 7

Non-constant error variance - deixa o std erro muito pequeno

Breuch-Pagan (detect) = n x R²

White (correct)

Unconditional: not related to ind. variable - no major problem

Question 8

♦QUANT♦ Autocorrelation / Serialcorrelation

Answer 8

Correlation among error

DW > 2 = ok! (detect) = 2 (1 - r_correlação)

Hansen (correct)

DW does not work with AR(x) model

Question 9

♦QUANT♦ Multicollinearity

Answer 9

F-test ok, T-test not ok. DROP VARIABLE

Question 10

♦QUANT♦ Log-Linear

Answer 10

ln Y = b0 + b1 t Y = e^(bo + b1 t)

Question 11

♦QUANT♦ Adjusted R²

Answer 11

Ra² = 1 - [ (n - 1) / (n - k - 1) x (1 -R²​)