FRM2000年第107题

Consider the following estimated linear regression model: Y = 0.08 - 0.5X + e
R2 = coefficient of determination = 0.64
You also know that the standard deviation of the independent variable is 0.4,
and the variance of the dependent variable is 0.09. What is cov(X,Y)?

两种作法:
1. b1=cov(X,Y)/ Var(x), Var(x)= 0.4^2=0.16 and b1 = -0.5.
so cov(X,Y) = b1*Var(x) = -0.08

2.  coefficient = cov(X,Y)/ std(Y)*Std(Y),
so cov(X,Y) = coefficient * std(Y)*Std(Y) = 0.64 * 0.4 * 0.3 = 0.768

哪一种是对的?