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Hypothesis Tests and Confidence Intervals in

Multiple Regression
多元回归中的假设检验与置信区间

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Hypothesis Testing of Regression Coefficients  The t-statistic used to test the significance of the individual coefficients in a multiple regression is calculated using the same formula that is used with simple linear regression: H0: Bj=0 versus Ha: Bj≠0 t= b j -B j sb j  bj sb j  t (n-k-1) The decision rule for tests of significance for regression coefficients is: 2-15 FRM(Financial Risk Manager)金融风险管理师 .

assuming the sample size is 60.  If the p-value is greater than the significance level.0 4.Values  The p-value is the smallest level of significance for which the null hypothesis can be rejected.2 -3. determine which regression parameters for the independent variables are statistically significantly different from zero at the 1% significance level.2 p-Value 0.40 -1. Example: interpreting p-values Given the following regression results. the null hypothesis can be rejected.80 Standard Error 0.Interpreting p.05 0.20 0.40 8. or 0.0319 0.01. the null hypothesis cannot be rejected.0 2.3215 0.40 2. Variable Intercept X1 X2 X3 Coefficient 0.0002 0. An alternative method of doing hypothesis testing of the coefficients is to compare the p-value to the significance level:  IF the p-value is less than significance level.56 t-Statistic 1. 3-15 FRM(Financial Risk Manager)金融风险管理师 . therefore X1 and X3 are statistically significantly different from zero.0022 Answer: the independent variable is statistically significant if the p-value is less than 1%.18 0.

25 0. test the null hypothesis that the intercept term is greater than or equal to -10% versus the alternative that it is less than -10% using a 1% significance level.Other Tests of the Regression Coefficients (one-tail test)  Example :  Using the following figure.028 0.0 <0.8 <0.657% -7.14 0.6% 1.00001 PR 0.62 4-15 FRM(Financial Risk Manager)金融风险管理师 . Figure: Regression Results for regression of EG10 on PR and YCS Coefficient Standard Error t-statistic P-value Intercept -11.032 7.0001 YCS 0.5 0.

Other Tests of the Regression Coefficients (one-tail test) 5-15 FRM(Financial Risk Manager)金融风险管理师 .

a 95% confidence interval is constructed as follows: b j  (t c  s b j ) or estimated regression coefficient   critical t-value  (coefficient standard error)  The critical t-value is a two-tailed value with n.k.1 degrees of freedom and a 5% significance level.Confidence Intervals for a Regression Coefficient  The confidence interval for a regression coefficient in multiple regression is calculated and interpreted the same way as it is in simple linear regression. For example. where n is the number of observations and k is the number of independent variables. 6-15 FRM(Financial Risk Manager)金融风险管理师 .

n-k-1) SSR / n . which is always a one-tailed test. if there are four independent variables in the model. is calculated as: where: F ESS / k  Fc. (k.k -1 ESS = explained sum of squares SSR = sum of squared residuals The decision rule for the F-test is: Decision rule: reject H0 if F (test-statistic) > Fc (critical value) 7-15 FRM(Financial Risk Manager)金融风险管理师 .Joint Hypothesis Testing  For example. the hypotheses are structured as: H0: B1=B2=B3= B4 = 0 versus HA: at least one Bj≠0 The F-statistic.

The total sum of squares is 460.k -1 170 / (60  5  1) The critical F-value for 5 and 54 degrees of freedom at a 5% significance level is approximately 2. 8-15 FRM(Financial Risk Manager)金融风险管理师 .Example  Example: Calculating and interpreting the F-statistic An analyst runs a regression of monthly value-stock returns on five independent variables over 60 months. Test the null hypothesis at the 5% significance level (95% confidence) that all five of the independent variables are equal to zero. we can reject the null hypothesis and conclude that at least one of the five independent variables is significant different than zero. its’ a one-tailed test.41 SSR / n .40. Remember. so we use the 5% F-table! Therefore. and the sum of squared residuals is 170. Answer: The null and alternative hypotheses are: H0: B1=B2=B3= B4 = B5 = 0 versus HA: at least one Bj≠0 ESS=TSS-SSR=460-170=290 F ESS / k 290 / 5   18.

Interpreting Regression Results – ANOVA(方差分析, Analysis of Variance) 9-15 FRM(Financial Risk Manager)金融风险管理师 .

真题回顾  Use the following information to answer Question 10-15 FRM(Financial Risk Manager)金融风险管理师 .

A.真题回顾  Based on the results and a 5% level of significance. III. H0: B0=0 H0: B1=0 H0: B2=0 H0: B1= B2=0 I. and III I and IV III and IV I. B. II. III. D. IV. C. II. which of the following hypotheses can be rejected? I. and IV Answer: D 11-15 FRM(Financial Risk Manager)金融风险管理师 .

201311 真 题 讲 解 82. 12-15 FRM(Financial Risk Manager)金融风险管理师 .

201311 真 题 讲 解 QUESTIONS 82 AND 83 REFER TO THE FOLLOWING INFORMATION A portfolio manager is evaluating the relationship between an index fund (X) and another fund (Y) that could be used as a potential hedge of the index fund. The regression results of the returns of Fund Y on the returns of Fund X are given below: 13-15 FRM(Financial Risk Manager)金融风险管理师 .

The error term of the regression is heteroskedastic. the portfolio manager would be correct to infer that: A.Based on the R2 of the regression. B. The coefficient of the return of Fund X is statistically insignificant. There are omitted factors that explain more of the return of Fund Y than the return of Fund X does. The return of Fund X is good at explaining the return of Fund Y. C.201311 真 题 讲 解 83. D. 14-15 FRM(Financial Risk Manager)金融风险管理师 .

结束 恭祝大家 FRM学习愉快! 顺利通过考试! 15-15 FRM(Financial Risk Manager)金融风险管理师 .