create a variable which equals to Scheduled Surprise, and then run a regression in which Y...
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create a variable which equals to Scheduled Surprise, and then run a regression in which Y is Return, the first X variable is Surprise, and the second X variable is Scheduled*Surprise. The results are presented as below: surprise Scheduled.surprise Constant Observations R-squared Adjusted R-squared Residual Standard Error F-statistic Note Return Regression Model 4 -5.96170*** (1.06541) 3.88775* (1.61175) 0.14796 (0.07837) 171 0.1661 0.1561 0.9758 (df 168) 16.73 (df 2; 168)*** *p <0.05, **p <0.01, ***p <0.001 Based on the results, at the 5% significance level, is the effect of Surprise on Return dependent on whether the FOMC meeting is scheduled or not? (0.5 mark) If so, please explain the impact of Scheduled in details [answer in less than 50 words]. (1 mark) create a variable which equals to Scheduled Surprise, and then run a regression in which Y is Return, the first X variable is Surprise, and the second X variable is Scheduled*Surprise. The results are presented as below: surprise Scheduled.surprise Constant Observations R-squared Adjusted R-squared Residual Standard Error F-statistic Note Return Regression Model 4 -5.96170*** (1.06541) 3.88775* (1.61175) 0.14796 (0.07837) 171 0.1661 0.1561 0.9758 (df 168) 16.73 (df 2; 168)*** *p <0.05, **p <0.01, ***p <0.001 Based on the results, at the 5% significance level, is the effect of Surprise on Return dependent on whether the FOMC meeting is scheduled or not? (0.5 mark) If so, please explain the impact of Scheduled in details [answer in less than 50 words]. (1 mark)
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Based on the regression results the coefficient for the interaction ... View the full answer
Related Book For
Statistics The Exploration & Analysis Of Data
ISBN: 9780840058010
7th Edition
Authors: Roxy Peck, Jay L. Devore
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