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LauraLewisisaquantitativeanalystforGoldeninvestment,aShanghai-basedfundwithsignificantequityinvestmentsinfinancialcompaniesinAmericaandEurope.LewisworriesabouttheextraordinaryperformanceonTEC,Inc.Finally,Lewisfindsthatthecoefficientoftheregressionmodelisnotcorrectlycalculatedbyherintern,KenSmith,sothatLewisdecidestorecollectthedataoftheTECstockreturnsandS&P500indexreturnsinformofnaturallogarithmsofoneplusthedailyreturns.TheresultsareshowninExhibit1.ExhibitStandardVarianceandThecorrelationbetweenTECstockreturnsS&P500indexThestandardvarianceofTECstockThestandardvarianceofS&P500indexThen,LewisrebuildstheregressionmodelusingthedataaboveandtheresultsoftheregressionareshowninExhibit2.TandyWilliams,adirectorforGoldeninvestment,advisesthatserialcorrelationisonecommonviolationforregressionmodel.BasedonWilliams’suggestion,LewisconductsDurbin-WatsonTesttocheckwhethertheserialcorrelationexists.Exhibit2RegressionResultsLn(1+TECstockreturns)=βLn(1+S&P500indexMultipleDurbin-WatsonExhibitCriticalValuesforD-WNAfteraresearchonAmericanmacroeconomy,LewisnotesthatthemajorityclientsofTEC,Inc.areinEurope.Therefore,shebelievesEURexchangerateisanimportantfactortobeconsidered.Beforeusingexchangerateasanindependentvariable,LewisisconcernedthattheEUR/USDexchangeratehasaunitrootsothatsherunsDickey-FullerTestonthetimeseries.TheresultsarereportedinExhibit4.ExhibitResultsforDickey-FullerTimeValueofexchangeLewishasameetingwithTandyWilliams,thedirectorforGoldenWilliamsreviewsthemodelandpointsoutregressionmodelcanbebiasedunlessvariousconditionsaremet.HementionsthatARCH(1)shouldbeusedtocheckwhetherheteroskedasticityexistsintimeseries.LewiscollectstheresidualsfromtheregressionmodelinExhibit1andconductstheARCH(1).TheresultsarereportedinExhibit5.Exhibit5ResultsforARCH(1) εt=0.0002+0.0319εt-9.7610-AccordingtoExhibit1andExhibit2,theregressioncoefficientofindependentvariableisclosestto：Lewis’internKenSmithconductst-testfortheindependentvariableinExhibit2.Whatisthefreedomforthet-test?BasedontheExhibit2,whichofthefollowingstatementsismostlikelyThemodelisinsignificantbecausetheR2fortheregressionmodelis0.1935,whichislessthan0.5.AunitchangeinS&P500indexreturnwillcause0.4401unitchangeinTECstockreturnbecausethecorrelationbetweenthetwovariablesis0.4401.R2fortheregressionmodelrepresentsthefractionofthetotalvariationinthedependentvariablethatisexplainedbytheindependentvariable.BasedontheExhibit2andExhibit3,ata0.05levelofsignificance,thetestforserialcorrelationindicatesthat:serialcorrelationdoesnotpositiveserialcorrelationserialcorrelationisBasedontheresultsofDickey-FullertestshowninExhibit4,whichofthefollowingstatementsisleastlikelytobecorrect?TheEUR/USDexchangerateserieshasaunitTherandomwalkmodelis TheEUR/USDexchangerateseriescanbedirectlyincludedintheregressionmodelshowninExhibit1asanindependentvariable.AccordingtotheresultsinExhibit5,isheteroskedasticityaproblemfortheregressionNo,becausethecoefficientforεt-12isYes,becausetheinterceptist-Yes,becausethecoeff

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