詹姆斯·R·埃文斯-数据、模型与决策（第4版）evans_sda4_ppt_06-a.pptVIP

Chapter 6: Regression AnalysisPart 1: Simple Linear Regression6(1)-1Copyright ? 2010 Pearson Education, Inc. ?Publishing as Prentice Hall Regression AnalysisBuilding models that characterize the relationships between a dependent variable and one (single) or more (multiple) independent variables, all of which are numerical, for example:College GPA= a + b*SAT + c*HS GPA + d*School TypeCross-sectional dataTime series data (forecasting)6(1)-2Copyright ? 2010 Pearson Education, Inc. ?Publishing as Prentice Hall Simple Linear RegressionSingle independent variableLinear relationship6(1)-3Copyright ? 2010 Pearson Education, Inc. ?Publishing as Prentice Hall Example: Home Market Value Data6(1)-4Copyright ? 2010 Pearson Education, Inc. ?Publishing as Prentice Hall Two Possible Regression Lines6(1)-5Copyright ? 2010 Pearson Education, Inc. ?Publishing as Prentice Hall Estimation of the Regression LineTrue regression line (unknown): Y = b0 + b1 X + eEstimated regression line: Y = b0 + b1 XObserved errors ei= Yi – Y = Yi – (b0 + b1 Xi)6(1)-6Copyright ? 2010 Pearson Education, Inc. ?Publishing as Prentice Hall Errors (Residuals)Y6(1)-7Copyright ? 2010 Pearson Education, Inc. ?Publishing as Prentice Hall Least Squares Regressionb0 = ?Y - b1?Xminimize6(1)-8Copyright ? 2010 Pearson Education, Inc. ?Publishing as Prentice Hall Excel TrendlinesConstruct a scatter diagramMethod 1: Select Chart/Add TrendlineMethod 2: Select data series; right click6(1)-9Copyright ? 2010 Pearson Education, Inc. ?Publishing as Prentice Hall Example of Trendline Tool6(1)-10Copyright ? 2010 Pearson Education, Inc. ?Publishing as Prentice Hall Regression and Investment Risk Systematic risk – variation in stock price explained by the marketMeasured by betaBeta = 1: perfect match to market movementsBeta 1: stock is less volatile than marketBeta 1: stock is more volatile than market6(1)-11Copyright ? 2010 Pearson Education, Inc. ?Publishing as Prentice Hall Systematic Risk (Beta)Beta is the slope of the