SOA Exam SRM Sample Question 24
Study guide: Exam SRM
Sarah performs a regression of the return on a mutual fund (y) on four predictors plus an intercept. She uses monthly returns over 105 months.
Her software calculates the F statistic for the regression as F = 20.0, but then it quits working before it calculates the value of R^2. While she waits on hold with the help desk, she tries to calculate R^2 from the F-statistic.
Determine which of the following statements about the attempted calculation is true.
- A) There is insufficient information, but it could be calculated if she had the value of the residual sum of squares (RSS).
- B) There is insufficient information, but it could be calculated if she had the value of the total sum of squares (TSS) and RSS.
- C)
R^2 = 0.44 - D)
R^2 = 0.56 - E)
R^2 = 0.80
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