Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

Conduct the RESET for model specification for your model, the F-statistic is reported with the p value state your findings in one sentence. (Need help

image text in transcribed

Conduct the RESET for model specification for your model, the F-statistic is reported with the p value

state your findings in one sentence.

(Need help completing this practice question).

Ramsey RESET Test Equation: UNTITLED Omitted Variables: Powers of fitted values from 2 to 3 Specification: MSFT-RISKFREE C MKT-RISKFREE SMB HML F-statistic Likelihood ratio Value 9.931087 19.44356 df (2, 168) 2 Probability 0.0001 0.0001 F-test summary: Test SSR Restricted SSR Unrestricted SSR Sum of ... 5.46E-05 0.000516 0.000462 df 2 170 168 Mean Squares 2.73E-05 3.04E-06 2.75E-06 LR test summary: Restricted LogL Unrestricted LogL Value 860.4546 870. 1763 Unrestricted Test Equation: Dependent Variable: MSFT-RISKFREE Method: Least Squares Date: 09/30/21 Time: 14:50 Sample: 1998M01 2012M06 Included observations: 174 Variable Coefficient Std. Error t-Statistic Prob. MKT-RISKFREE SMB HML FITTED^2 FITTED^3 -0.002260 0.001754 -0.992130 0.997231 -0.055774 0.006840 0.000135 0.002649 0.004897 0.004135 0.015476 0.077454 -16.74899 0.662045 -202.6088 241.1403 -3.603906 0.088308 0.0000 0.5088 0.0000 0.0000 0.0004 0.9297 R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.999226 0.999203 0.001658 0.000462 870.1763 43400.13 0.000000 Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter. Durbin-Watson stat -0.003981 0.058728 -9.933061 -9.824129 -9.888872 0.150571 Ramsey RESET Test Equation: UNTITLED Omitted Variables: Powers of fitted values from 2 to 3 Specification: MSFT-RISKFREE C MKT-RISKFREE SMB HML F-statistic Likelihood ratio Value 9.931087 19.44356 df (2, 168) 2 Probability 0.0001 0.0001 F-test summary: Test SSR Restricted SSR Unrestricted SSR Sum of ... 5.46E-05 0.000516 0.000462 df 2 170 168 Mean Squares 2.73E-05 3.04E-06 2.75E-06 LR test summary: Restricted LogL Unrestricted LogL Value 860.4546 870. 1763 Unrestricted Test Equation: Dependent Variable: MSFT-RISKFREE Method: Least Squares Date: 09/30/21 Time: 14:50 Sample: 1998M01 2012M06 Included observations: 174 Variable Coefficient Std. Error t-Statistic Prob. MKT-RISKFREE SMB HML FITTED^2 FITTED^3 -0.002260 0.001754 -0.992130 0.997231 -0.055774 0.006840 0.000135 0.002649 0.004897 0.004135 0.015476 0.077454 -16.74899 0.662045 -202.6088 241.1403 -3.603906 0.088308 0.0000 0.5088 0.0000 0.0000 0.0004 0.9297 R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.999226 0.999203 0.001658 0.000462 870.1763 43400.13 0.000000 Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter. Durbin-Watson stat -0.003981 0.058728 -9.933061 -9.824129 -9.888872 0.150571

Step by Step Solution

There are 3 Steps involved in it

Step: 1

blur-text-image

Get Instant Access to Expert-Tailored Solutions

See step-by-step solutions with expert insights and AI powered tools for academic success

Step: 2

blur-text-image

Step: 3

blur-text-image

Ace Your Homework with AI

Get the answers you need in no time with our AI-driven, step-by-step assistance

Get Started

Recommended Textbook for

Financial Accounting Introduction To Concepts Methods And Uses

Authors: Clyde P. Stickney, Roman L. Weil

11th Edition

0324222971, 978-0324222975

More Books

Students also viewed these Accounting questions