FinAcademy › Risk Track I › Regression
Module R4 · QTA 7–9, FRM 5–6
Regression, done properly
OLS with one regressor, then several, then everything that goes wrong: heteroskedasticity, multicollinearity, outliers. CAPM beta, APT and the performance ratios ride on top because they are regressions.
4 lessons · 11 interactive figures · 28 exercises
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- 1OLS with one regressor
A line through a cloud, chosen to make the squared vertical misses as small as possible. Beta is that line's slope.7 exercises - 2Inference on coefficients, dummies, and beta
Is the slope different from one? Is the intercept different from zero? That is the CAPM tested as a regression.7 exercises - 3Multiple regression, the F-test and factor models
Add regressors and R² can only rise. Adjusted R² and the F-test are how you tell whether the new ones earn their place.7 exercises - 4Regression diagnostics: heteroskedasticity, outliers, specification
The estimates can be right while the standard errors are wrong. Diagnostics are how you find out which.7 exercises
Module test
20 questions drawn at random from the 28 exercises of this module, 48 minutes on the clock, marked instantly with the worked solution and a link back to the lesson for every miss.
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