Quant (Formulas)

Multiple Regression table

F-value

MSR / MSE

R ²

1 - SSE / SST or SSR / SST

Adj R²

1 - MSE/MST

Standard Error of Regression

Sqrt(MSE)

A multiple linear regression model has the general form:

Joint F-test

Variance Inflation Factor (VIF) formula.

■ VIF_j > 5 warrants further investigation of the given independent variable.
■ VIF_j > 10 indicates serious multicollinearity requiring correction.

Breusch–Pagan (BP) test

In a regression analysis using a sample of 20 companies, the number of dummy variables needed to distinguish among four different categories of companies is:

Here n = 4, so the number of dummy variables is n – 1 = 3.

Leverage Measure

Studentized residual (ti*)

Cook’s distance

Logistic regression model

The mean-reverting level is calculated as:

c is intercept and O is coefficient

The chain rule of forecasting is