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xCFA 2 2017 > Quantitative > Flashcards

Flashcards in Quantitative Deck (11)
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1

♦QUANT♦ Correl

Covar x,y / Sx Sy

2

♦QUANT♦ T-test (with n-2 df and two tailed)

r * √ n-2 / √ 1 - r²

3

♦QUANT♦ Slope

Covar x,y / Var x

4

♦QUANT♦ Confidence Interval

Y +- tc x SE

bj +- tc x SEj

5

♦QUANT♦ ANOVA

6

♦QUANT♦ Mean reverting level

b0 / ( 1 - b1) If b1 = 1, then unit root / random walk

7

♦QUANT♦ Heteroskedasticity

Non-constant error variance - deixa o std erro muito pequeno

Breuch-Pagan (detect) = n x R²

White (correct)

 

Unconditional: not related to ind. variable - no major problem

8

♦QUANT♦ Autocorrelation / Serialcorrelation

Correlation among error

DW > 2 = ok! (detect) = 2 (1 - rcorrelação

Hansen (correct)

DW does not work with AR(x) model

9

♦QUANT♦ Multicollinearity

F-test ok, T-test not ok. DROP VARIABLE

10

♦QUANT♦ Log-Linear

ln Y = b0 + b1 t Y = e^(bo + b1 t)

11

♦QUANT♦ Adjusted R²

Ra2 = 1 - [ (n - 1) / (n - k - 1) x (1 -R2​)