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PRM Certification 8007 Book

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Question 8

A simple linear regression is based on 100 data points. The total sum of squares is 1.5 and the correlation between the dependent and explanatory variables is 0.5. What is the explained sum of squares?

Options:

A.

0.75

B.

1.125

C.

0.3333

D.

0.375

Question 9

What is the sum of the first 20 terms of this sequence: 3, 5, 9, 17, 33, 65,…?

Options:

A.

1 048 574

B.

1 048 595

C.

2 097 170

D.

2 097 172

Question 10

A linear regression gives the following output:

Figures in square brackets are estimated standard errors of the coefficient estimates. What is the value of the test statistic for the hypothesis that the coefficient of is zero against the alternative that is less than zero?

Options:

A.

0.125

B.

2.5

C.

-1.25

D.

-2.5

Question 11

The correlation between two asset returns is 1. What is the smallest eigenvalue of their correlation matrix?

Options:

A.

1

B.

0.5

C.

0

D.

None of the above

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Exam Code: 8007
Exam Name: Exam II: Mathematical Foundations of Risk Measurement - 2015 Edition
Last Update: Nov 21, 2024
Questions: 132
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