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An analyst runs a regression of monthly value-stock returns on five independent variables over 48 months. The total sum of squares is 430, and the sum of squared errors is 170. Test the null hypothesis at the 2.5% and 5% significance level that all five of the independent variables are equal to zero. A. Rejected at 5% significance only. B. Not rejected at 2.5% or 5.0% significance. C. Rejected at 2.5% significance and 5% significance. |