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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
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 0.150571Step by Step Solution
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