2012年金融英语考试预测模拟试题及答案(8)

　　　 SECTION 2
　　Reading Comprehension: (10 points)
　　1) B was correct!
　　Discuss the types of heteroskedasticity and the effects of heteroskedasticity and serial correlation on statistical inference
　　Hamilton’s test confirmed the presence of conditional heteroskedasticity, which means that the variance of the error term is correlated with the values of the independent variables.
　　2) D was correct!
　　Calculate and interpret 1) a confidence interval for the population value of a regression coefficient and 2) a predicted value for the dependent variable, given an estimated regression model and assumed values for the independent variables
　　Substituting the assumed values into the estimated model results in the following:
　　Monthly return = -0.0069% + 1.0264(1%) + 0.3625(1%) = 1.38%.
　　3) D was correct!
　　Calculate and interpret the F-statistic, and discuss how it is used in regression analysis, define, distinguish between, and interpret the R2 and adjusted R2 in multiple regression, and infer how well a regression model explains the dependent variable by analyzing the output of the regression equation and an ANOVA table.
　　Because the explained variation or R2 = 40%, then the unexplained variation is (1 - 40%) = 60%.
　　4) A was correct!
　　Formulate a null and an alternative hypothesis about the population value of a regression coefficient, calculate the value of the test statistic, determine whether to reject the null hypothesis at a given level of significance, using a one-tailed or two-tailed test, and interpret the result of the test.
　　The null hypothesis is H0: bspread = 1. The calculated value of the t-statistic is t = (1.0264 - 1.0) / standard error. The standard error is 1.0264 / 4.28 = 0.24. The calculated value for t = (1.0264 - 1.0) / 0.24 = 0.11.
　　5) C was correct!
　　Calculate and interpret the standard error of estimate, the coefficient of determination, and a confidence interval for a regression coefficient
　　The standard error is found in Exhibit 2 as follows: t-statistic = 6.19 = 0.3625 / standard error. The standard error = 0.0586. The two-tailed critical t-value (1.972) is taken from the table with p = 0.025. The confidence interval is 0.3625 ± 1.972 x 0.0586, or 0.25 to 0.48.