Multiple Linear Regression

Cheng-Few Lee (), Hong-Yi Chen () and John Lee ()
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Cheng-Few Lee: Rutgers University, Department of Finance and Economics, Rutgers Business School
Hong-Yi Chen: National Chengchi University, Department of Finance
John Lee: Center for PBBEF Research

Chapter Chapter 2 in Financial Econometrics, Mathematics and Statistics, 2019, pp 19-53 from Springer

Abstract: Abstract In this chapter, we first discuss the basic assumption of multiple regressionMultiple regression. We then specify the model of regression and show how this regression coefficient can be estimated. Appendix 1 derives the sampling variance of the least squares slope estimations, and Appendix 2 shows how multiple regressionMultiple regression can be used to investigate the cross-sectional relationship among price per share, dividend per share, and return earning per share.

Keywords: Coefficient of determination; Confidence interval; Hypothesis test; Multiple regression; t-test; Residual standard error (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-1-4939-9429-8_2

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DOI: 10.1007/978-1-4939-9429-8_2

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