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Explain 2

The Date variable needs to be converted from daily to monthly format using the command %tm Date. The regression analysis shows a significant slope estimate (β) of 1.002, indicating that it is different from zero, while the constant (α) is not significant. The overall F-statistic suggests that the null hypothesis regarding the slope being equal to 1 is rejected at the 5% significance level.

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winvo2003
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17 views3 pages

Explain 2

The Date variable needs to be converted from daily to monthly format using the command %tm Date. The regression analysis shows a significant slope estimate (β) of 1.002, indicating that it is different from zero, while the constant (α) is not significant. The overall F-statistic suggests that the null hypothesis regarding the slope being equal to 1 is rejected at the 5% significance level.

Uploaded by

winvo2003
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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Using the codebook command to check, the Date variable is in daily format, need to convert

to monthly format

Use the format %tm Date command to convert from daily to monthly
(ˆα) and slope (βˆ) are 0.013 and 0.975

(ˆα) in this regression is –2.838 and the slope estimate (βˆ) is 1.002

t-Ratio:
Constant (α): 0.44 (small) → do not reject H0: α = 0.
Slope (β, rfutures): 146.54 (high) → reject H0: β = 0, β is different from 0.

P-value:
Constant: > 0.1 → not significant (even at 10%).
Slope: 0.000 → very significant (reject H0 at 1%).
Conclusion: Slope (β) is important, constant (α) does not matter much!
Result: F(1,244) = 14.03, p = 0.0002 < 0.05 → reject H0 (β ≠ 1) at 5%.

F-statistic of 2.58 and a corresponding p-value of 0.1092, we find that the null hypothesis is
not rejected at the 5% significance level.

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