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Simple Linear Regression 37 x y FIGUre 2.5 Least Squares Regression Fit for Exponential Functional Relationship taBLe 2.3 Values ...

38 The Basics of financial economeTrics To linearize equation (2.14), we have the following natural logarithm transformation of ...

Simple Linear Regression 39 ■ (^) The parameters of a simple linear regression model are estimated using the method of ordinary ...

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41 CHAPTER 3 Multiple Linear regression A fter reading this chapter you will understand: ■ (^) What a multiple linear regression ...

42 The Basics of financial economeTrics The Multiple Linear Regression Model The multiple linear regression model for the popula ...

Multiple Linear Regression 43 The regression coefficient of each independent variable given in equa- tion (3.5) represents the a ...

44 The Basics of financial economeTrics that our total dimensionality is k + 1. The estimated model generates values on a k-mult ...

Multiple Linear Regression 45 by the regression is indicated by the gray plane. The intercept b 0 is indicated by the dashed arr ...

46 The Basics of financial economeTrics the regression and its evaluation. This building process consists of three steps: Speci ...

Multiple Linear Regression 47 multiple linear regression is referred to as the multiple coefficient of deter- mination. We repro ...

48 The Basics of financial economeTrics SSE was defined in the previous chapter but in the multiple linear regression case yˆ is ...

Multiple Linear Regression 49 It is for this reason that a redefined version of the coefficient of deter- mination is needed and ...

50 The Basics of financial economeTrics with n − k − 1 degrees of freedom. The value bj is the sample estimate of the jth regres ...

Multiple Linear Regression 51 is F-distributed with 1 and n − k − 1 degrees of freedom under the null hypothesis that the true m ...

52 The Basics of financial economeTrics Aggregate Bond Index.^10 For each of these indexes the dependent variable is the monthly ...

Multiple Linear Regression 53 TAbLE 3.2 Data for Empirical Duration Illustration Month Change in Lehman Bros Treasury Yield S&am ...

54 The Basics of financial economeTrics TAbLE 3.2 (continued) Month Change in Lehman Bros Treasury Yield S&P 500 Return Mont ...

Multiple Linear Regression 55 TAbLE 3.2 (continued) Month Change in Lehman Bros Treasury Yield S&P 500 Return Monthly Return ...

56 The Basics of financial economeTrics TAbLE 3.2 (continued) Month Change in Lehman Bros Treasury Yield S&P 500 Return Mont ...