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| visits | member for | 1 year, 11 months |
| seen | Jun 1 '11 at 18:26 | |
| stats | profile views | 3 |
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May 31 |
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Why is a regression model of portfolio return giving smaller adjusted R-square (i.e., negative) than expected? @chris: no, I did not test the significance of the model. I only tried to replicate the model from ir.lib.sfu.ca/retrieve/4269/etd2703.pdf page 44. But the paper doesn't give any R^2 value. Is it possible that the input for independent variable for regression running in excel was not only 1 or 0, but they are multiplied by something? When I tried to multiply them by diff between jan-non jan I got better R^2 at 0.11. But now the coeff size for a1 become too large at 0.9, while coeff a0 only 0.00005. |
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May 31 |
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Why is a regression model of portfolio return giving smaller adjusted R-square (i.e., negative) than expected? I did not test for the significant of the model, I only replicate them. They are based on ir.lib.sfu.ca/retrieve/4269/etd2703.pdf the model on page 44 and the result on page 47. The author did not explain anything about the R^2, but I was required to explain about the R^2. Since the result are weird, I dont know how to interpret them. I got only 1 more week to submit my result. my friend told me maybe the model was bad, should I use other model? (i will include p-value n adj R^2 in my question) |
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May 31 |
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Why is a regression model of portfolio return giving smaller adjusted R-square (i.e., negative) than expected? Sorry the last comment accidentally got uploaded before I edited it. |
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May 31 |
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Why is a regression model of portfolio return giving smaller adjusted R-square (i.e., negative) than expected? P1 Coef Std Error P-value Intercept (ao) -0.00049 0.000163 0.002962 Djan (a1) 0.000353 0.000578 0.54113 Adj R Square -0.00026 P2 Coef Std Error P-value Intercept (ao) 0.000208 0.000235 0.377078 Djan (a1) 0.001853 0.000831 0.025876** Adj R Square 0.001619 P3 Coef Std Error P-value Intercept (ao) 0.000368 0.000206 0.074434 Djan (a1) 0.000298 0.000729 0.682311 Adj R Square -0.00034 P4 Coef Std Error P-value Intercept (ao) 0.000586 0.000292 0.045074 Djan (a1) -0.00152 0.001033 0.141486 Adj R Square 0.000475 |
