Trong CFA Curriculum 2023, Level 1, Volume 1: Quantitative Methods, bạn sẽ khám phá những kiến thức cơ bản về phương pháp số trong lĩnh vực tài chính. Cuốn sách tập trung vào việc áp dụng các công cụ và kỹ thuật toán học vào các vấn đề tài chính. Bạn sẽ được tìm hiểu về các khái niệm cơ bản như tỷ lệ, tỷ giá, phương sai, hệ số tương quan và phân phối xác suất. Ngoài ra, cuốn sách cũng giới thiệu về các phương pháp phân tích thống kê và ứng dụng chúng trong tài chính. Bạn sẽ học cách tính toán và đánh giá rủi ro và lợi nhuận, đồng thời hiểu rõ hơn về các công cụ và phương pháp đánh giá giá trị tài sản. Cuốn sách cung cấp các bài tập và ví dụ minh họa giúp bạn áp dụng kiến thức vào thực tế. Điều này giúp bạn phát triển kỹ năng tính toán và hiểu sâu hơn về cách áp dụng phương pháp số vào các vấn đề tài chính thực tế. Cuối cùng, Cuốn sách Quantitative Methods, Level 1, Volume 1 trong CFA Curriculum 2023 cung cấp nền tảng quan trọng cho những ai muốn xây dựng một sự nghiệp trong lĩnh vực tài chính. Bằng cách hiểu và áp dụng các phương pháp số, bạn có thể phân tích và đưa ra quyết định thông minh trong môi trường tài chính phức tạp hiện nay.
© CFA Institute For candidate use only Not for distribution QUANTITATIVE METHODS CFAđ Program Curriculum 2023 ã LEVEL ã VOLUME © CFA Institute For candidate use only Not for distribution ©2022 by CFA Institute All rights reserved This copyright covers material written expressly for this volume by the editor/s as well as the compilation itself It does not cover the individual selections herein that first appeared elsewhere Permission to reprint these has been obtained by CFA Institute for this edition only Further reproductions by any means, electronic or mechanical, including photocopying and recording, or by any information storage or retrieval systems, must be arranged with the individual copyright holders noted CFA®, Chartered Financial Analyst®, AIMR-PPS®, and GIPS® are just a few of the trademarks owned by CFA Institute To view a list of CFA Institute trademarks and the Guide for Use of CFA Institute Marks, please visit our website at www.cfainstitute.org This publication is designed to provide accurate and authoritative information in regard to the subject matter covered It is sold with the understanding that the publisher is not engaged in rendering legal, accounting, or other professional service If legal advice or other expert assistance is required, the services of a competent professional should be sought All trademarks, service marks, registered trademarks, and registered service marks are the property of their respective owners and are used herein for identification purposes only ISBN 978-1-950157-96-9 (paper) ISBN 978-1-953337-23-8 (ebook) 2022 © CFA Institute For candidate use only Not for distribution CONTENTS How to Use the CFA Program Curriculum Errata Designing Your Personal Study Program CFA Institute Learning Ecosystem (LES) Feedback ix ix ix x x Learning Module The Time Value of Money Introduction Interest Rates Future Value of a Single Cash Flow Non-Annual Compounding (Future Value) Continuous Compounding Stated and Effective Rates A Series of Cash Flows Equal Cash Flows—Ordinary Annuity Unequal Cash Flows Present Value of a Single Cash Flow Non-Annual Compounding (Present Value) Present Value of a Series of Equal and Unequal Cash Flows The Present Value of a Series of Equal Cash Flows The Present Value of a Series of Unequal Cash Flows Present Value of a Perpetuity Present Values Indexed at Times Other than t = 0 Solving for Interest Rates, Growth Rates, and Number of Periods Solving for Interest Rates and Growth Rates Solving for the Number of Periods Solving for Size of Annuity Payments Present and Future Value Equivalence and the Additivity Principle The Cash Flow Additivity Principle Summary Practice Problems Solutions 3 10 12 14 15 15 16 17 19 21 21 25 26 27 28 29 31 32 36 38 39 40 45 Learning Module Organizing, Visualizing, and Describing Data Introduction Data Types Numerical versus Categorical Data Cross-Sectional versus Time-Series versus Panel Data Structured versus Unstructured Data Data Summarization Organizing Data for Quantitative Analysis Summarizing Data Using Frequency Distributions Summarizing Data Using a Contingency Table 59 59 60 61 63 64 68 68 71 77 Quantitative Methods indicates an optional segment iv © CFA Institute For candidate use only Not for distribution Contents Data Visualization Histogram and Frequency Polygon Bar Chart Tree-Map Word Cloud Line Chart Scatter Plot Heat Map Guide to Selecting among Visualization Types Measures of Central Tendency The Arithmetic Mean The Median The Mode Other Concepts of Mean Quantiles Quartiles, Quintiles, Deciles, and Percentiles Quantiles in Investment Practice Measures of Dispersion The Range The Mean Absolute Deviation Sample Variance and Sample Standard Deviation Downside Deviation and Coefficient of Variation Coefficient of Variation The Shape of the Distributions The Shape of the Distributions: Kurtosis Correlation between Two Variables Properties of Correlation Limitations of Correlation Analysis Summary Practice Problems Solutions 82 82 84 87 88 90 92 96 98 100 101 105 106 107 116 117 122 123 123 124 125 128 131 133 136 139 140 143 146 151 164 Learning Module Probability Concepts Probability Concepts and Odds Ratios Probability, Expected Value, and Variance Conditional and Joint Probability Expected Value and Variance Portfolio Expected Return and Variance of Return Covariance Given a Joint Probability Function Bayes' Formula Bayes’ Formula Principles of Counting Summary References Practice Problems Solutions 173 174 174 179 191 197 202 206 206 212 218 220 221 228 Learning Module Common Probability Distributions Discrete Random Variables 235 236 indicates an optional segment Contents © CFA Institute For candidate use only Not for distribution v Discrete Random Variables Discrete and Continuous Uniform Distribution Continuous Uniform Distribution Binomial Distribution Normal Distribution The Normal Distribution Probabilities Using the Normal Distribution Standardizing a Random Variable Probabilities Using the Standard Normal Distribution Applications of the Normal Distribution Lognormal Distribution and Continuous Compounding The Lognormal Distribution Continuously Compounded Rates of Return Student’s t-, Chi-Square, and F-Distributions Student’s t-Distribution Chi-Square and F-Distribution Monte Carlo Simulation Summary Practice Problems Solutions 237 241 243 246 254 254 258 260 260 262 266 266 269 272 272 274 279 285 288 296 Learning Module Sampling and Estimation Introduction Sampling Methods Simple Random Sampling Stratified Random Sampling Cluster Sampling Non-Probability Sampling Sampling from Different Distributions The Central Limit Theorem and Distribution of the Sample Mean The Central Limit Theorem Standard Error of the Sample Mean Point Estimates of the Population Mean Point Estimators Confidence Intervals for the Population Mean and Sample Size Selection Selection of Sample Size Resampling Sampling Related Biases Data Snooping Bias Sample Selection Bias Look-Ahead Bias Time-Period Bias Summary Practice Problems Solutions 303 304 304 305 306 308 309 313 315 315 317 320 320 324 330 332 335 336 337 339 340 341 344 349 Learning Module Hypothesis Testing Introduction Why Hypothesis Testing? 353 354 354 indicates an optional segment vi Learning Module © CFA Institute For candidate use only Not for distribution Contents Implications from a Sampling Distribution The Process of Hypothesis Testing Stating the Hypotheses Two-Sided vs One-Sided Hypotheses Selecting the Appropriate Hypotheses Identify the Appropriate Test Statistic Test Statistics Identifying the Distribution of the Test Statistic Specify the Level of Significance State the Decision Rule Determining Critical Values Decision Rules and Confidence Intervals Collect the Data and Calculate the Test Statistic Make a Decision Make a Statistical Decision Make an Economic Decision Statistically Significant but Not Economically Significant? The Role of p-Values Multiple Tests and Significance Interpretation Tests Concerning a Single Mean Test Concerning Differences between Means with Independent Samples Test Concerning Differences between Means with Dependent Samples Testing Concerning Tests of Variances Tests of a Single Variance Test Concerning the Equality of Two Variances (F-Test) Parametric vs Nonparametric Tests Uses of Nonparametric Tests Nonparametric Inference: Summary Tests Concerning Correlation Parametric Test of a Correlation Tests Concerning Correlation: The Spearman Rank Correlation Coefficient Test of Independence Using Contingency Table Data Summary References Practice Problems Solutions 355 356 357 357 358 359 359 360 360 362 363 364 365 366 366 366 366 367 370 373 377 379 383 383 387 392 393 393 394 395 Introduction to Linear Regression Simple Linear Regression Estimating the Parameters of a Simple Linear Regression The Basics of Simple Linear Regression Estimating the Regression Line Interpreting the Regression Coefficients Cross-Sectional vs Time-Series Regressions Assumptions of the Simple Linear Regression Model Assumption 1: Linearity Assumption 2: Homoskedasticity Assumption 3: Independence 429 429 432 432 433 436 437 440 440 442 444 indicates an optional segment 397 399 404 407 408 419 Contents © CFA Institute For candidate use only Not for distribution vii Assumption 4: Normality Analysis of Variance Breaking down the Sum of Squares Total into Its Components Measures of Goodness of Fit ANOVA and Standard Error of Estimate in Simple Linear Regression Hypothesis Testing of Linear Regression Coefficients Hypothesis Tests of the Slope Coefficient Hypothesis Tests of the Intercept Hypothesis Tests of Slope When Independent Variable Is an Indicator Variable Test of Hypotheses: Level of Significance and p-Values Prediction Using Simple Linear Regression and Prediction Intervals Functional Forms for Simple Linear Regression The Log-Lin Model The Lin-Log Model The Log-Log Model Selecting the Correct Functional Form Summary Practice Problems Solutions 445 447 448 449 450 453 453 456 Appendices 493 indicates an optional segment 457 459 460 464 465 466 468 469 471 474 488 © CFA Institute For candidate use only Not for distribution © CFA Institute For candidate use only Not for distribution How to Use the CFA Program Curriculum The CFA® Program exams measure your mastery of the core knowledge, skills, and abilities required to succeed as an investment professional These core competencies are the basis for the Candidate Body of Knowledge (CBOK™) The CBOK consists of four components: ■ A broad outline that lists the major CFA Program topic areas (www cfainstitute.org/programs/cfa/curriculum/cbok) ■ Topic area weights that indicate the relative exam weightings of the top-level topic areas (www.cfainstitute.org/programs/cfa/curriculum) ■ Learning outcome statements (LOS) that advise candidates about the specific knowledge, skills, and abilities they should acquire from curriculum content covering a topic area: LOS are provided in candidate study sessions and at the beginning of each block of related content and the specific lesson that covers them We encourage you to review the information about the LOS on our website (www.cfainstitute.org/programs/cfa/curriculum/ study-sessions), including the descriptions of LOS “command words” on the candidate resources page at www.cfainstitute.org ■ The CFA Program curriculum that candidates receive upon exam registration Therefore, the key to your success on the CFA exams is studying and understanding the CBOK You can learn more about the CBOK on our website: www.cfainstitute org/programs/cfa/curriculum/cbok The entire curriculum, including the practice questions, is the basis for all exam questions and is selected or developed specifically to teach the knowledge, skills, and abilities reflected in the CBOK ERRATA The curriculum development process is rigorous and includes multiple rounds of reviews by content experts Despite our efforts to produce a curriculum that is free of errors, there are instances where we must make corrections Curriculum errata are periodically updated and posted by exam level and test date online on the Curriculum Errata webpage (www.cfainstitute.org/en/programs/submit-errata) If you believe you have found an error in the curriculum, you can submit your concerns through our curriculum errata reporting process found at the bottom of the Curriculum Errata webpage DESIGNING YOUR PERSONAL STUDY PROGRAM An orderly, systematic approach to exam preparation is critical You should dedicate a consistent block of time every week to reading and studying Review the LOS both before and after you study curriculum content to ensure that you have mastered the ix x © CFA Institute For candidate use only Not for distribution How to Use the CFA Program Curriculum applicable content and can demonstrate the knowledge, skills, and abilities described by the LOS and the assigned reading Use the LOS self-check to track your progress and highlight areas of weakness for later review Successful candidates report an average of more than 300 hours preparing for each exam Your preparation time will vary based on your prior education and experience, and you will likely spend more time on some study sessions than on others CFA INSTITUTE LEARNING ECOSYSTEM (LES) Your exam registration fee includes access to the CFA Program Learning Ecosystem (LES) This digital learning platform provides access, even offline, to all of the curriculum content and practice questions and is organized as a series of short online lessons with associated practice questions This tool is your one-stop location for all study materials, including practice questions and mock exams, and the primary method by which CFA Institute delivers your curriculum experience The LES offers candidates additional practice questions to test their knowledge, and some questions in the LES provide a unique interactive experience FEEDBACK Please send any comments or feedback to info@cfainstitute.org, and we will review your suggestions carefully 488 Learning Module © CFA Institute For candidate use only Not for distribution Introduction to Linear Regression SOLUTIONS C is correct Homoskedasticity is the situation in which the variance of the residuals is constant across the observations A The coefficient of determination is 0.4279: Explained variation 60.16 _ = 0.4279. Total variation = 140.58 60.16 ⁄1 60.16 B F = _ = _ 1.3866 = 43.3882. ( 140.58 − 60.16)⁄(60 − 2) C Begin with the sum of squares error of 140.58 − 60.16 = 80.42 Then calculate the mean square error of 80.42 ÷ (60 − 2) = 1.38655 The standard error _ 1.38655 = of the estimate is the square root of the mean square error: s e = √ 1.1775 D The sample variance of the dependent variable uses the total variation of the dependent variable and divides it by the number of observations less one: _ n (Yi − Y ) _ Total variation 140.58 = 2.3827. ∑ n − 1 = _ n − 1 = _ 60 − 1 i=1 The sample standard_ deviation of the dependent variable is the square root of the variance, or √ 2.3827 = 1.544 The Month data point is an outlier, lying far away from the other data values Because this outlier was caused by a data entry error, correcting the outlier improves the validity and reliability of the regression In this case, revised R2 is lower (from 0.9921 to 0.6784) The outliers created the illusion of a better fit from the higher R2; the outliers altered the estimate of the slope The standard error of the estimate is lower when the data error is corrected (from 2.8619 to 2.0624), as a result of the lower mean square error However, at a 0.05 level of significance, both models fit well The difference in the fit is illustrated in Exhibit © CFA Institute For candidate use only Not for distribution Solutions Exhibit 1: The Fit of the Model with and without Data Errors A Before the Data Errors Are Corrected Portfolio Return 80 70 60 50 40 30 20 10 –10 –20 20 40 60 80 Index Return B After the Data Errors Are Corrected Portfolio Return (%) –2 –4 –10 –5 10 Index Return (%) A is correct SHIFT is an indicator or dummy variable because it takes on only the values and C is correct In a simple regression with a single indicator variable, the intercept is the mean of the dependent variable when the indicator variable takes on a value of zero, which is before the shift in policy in this case C is correct Whereas the intercept is the average of the dependent variable when the indicator variable is zero (that is, before the shift in policy), the slope is the difference in the mean of the dependent variable from before to after the change in policy A is correct The null hypothesis of no difference in the annual growth rate is rejected at the 0.05 level: The calculated test statistic of −8.16188 is outside the bounds of ±2.048 A The sample variance of the dependent variable is the sum of squares total divided by its degrees of freedom (n − = − = 4, as given) Thus, the sample variance of the dependent variable is 95.2 ÷ = 23.8 B The coefficient of determination = 88.0 ÷ 95.2 = 0.92437 C The F-statistic tests whether all the slope coefficients in a linear regression are equal to zero 489 490 Learning Module © CFA Institute For candidate use only Not for distribution Introduction to Linear Regression D The calculated value of the F-statistic is 36.667, as shown in the table The corresponding p-value is less than 0.05, so you reject the null hypothesis of a slope equal to zero E The standard_ error of the estimate is the square root of the mean square error: se = √ 2.4 = 1.54919 A is correct The coefficient of determination is the same as R2, which is 0.7436 in the table 10 C is correct Because the slope is positive, the correlation_ between X and Y is simply the square root of the coefficient of determination: √ 0.7436 = 0.8623. 11 C is correct To make a prediction using the regression model, multiply the slope coefficient by the forecast of the independent variable and add the result to the intercept Expected value of CFO to sales = 0.077 + (0.826 × 5) = 4.207 12 C is correct The p-value is the smallest level of significance at which the null hypotheses concerning the slope coefficient can be rejected In this case, the p-value is less than 0.05, and thus the regression of the ratio of cash flow from operations to sales on the ratio of net income to sales is significant at the 5% level 13 A is correct The data are observations over time 14 C is correct From the regression equation, Expected return = 0.0138 + (−0.6486 × −0.01) = 0.0138 + 0.006486 = 0.0203, or 2.03% 15 C is correct R2 is the coefficient of determination In this case, it shows that 2.11% of the variability in Stellar’s returns is explained by changes in CPIENG 16 B is correct The standard error of the estimate is the standard deviation of the regression residuals 17 C is the correct response because it is a false statement The slope and intercept are both statistically different from zero at the 0.05 level of significance 18 C is correct The slope coefficient (shown in Exhibit 2) is negative We could also determine this by looking at the cross-product (Exhibit 1), which is negative 19 B is correct The sample covariance is calculated as _ _ n ∑ ( Xi − X ) ( Yi − Y ) i=1 = − 9.2430 ÷ 49 = − 0.1886 n − 1 20 A is correct In simple regression, the R2 is the square of the pairwise correlation Because the slope coefficient is negative, the correlation is the negative of the square root of 0.0933, or −0.3054 21 C is correct Conclusions cannot be drawn regarding causation; they can be drawn only about association; therefore, Interpretations and are incorrect 22 C is correct Liu explains the variation of the short interest ratio using the variation of the debt ratio 23 A is correct The degrees of freedom are the number of observations minus the number of parameters estimated, which equals in this case (the intercept and the slope coefficient) The number of degrees of freedom is 50 − = 48 24 B is correct The t-statistic is −2.2219, which is outside the bounds created by © CFA Institute For candidate use only Not for distribution Solutions the critical t-values of ±2.011 for a two-tailed test with a 5% significance level The value of 2.011 is the critical t-value for the 5% level of significance (2.5% in one tail) for 48 degrees of freedom A is incorrect because the mean of the short interest ratio is 192.3 ÷ 50 = 3.846 C is incorrect because the debt ratio explains 9.33% of the variation of the short interest ratio 25 A is correct The predicted value of the short interest ratio = 5.4975 + (−4.1589 × 0.40) = 5.4975 − 1.6636 = 3.8339 Mean square regression 26 C is correct because F = Mean square error = _ 38.4404 = 4.9367 7.7867 27 C is correct The assumptions of the linear regression model are that (1) the relationship between the dependent variable and the independent variable is linear in the parameters b0 and b1, (2) the residuals are independent of one another, (3) the variance of the error term is the same for all observations, and (4) the error term is normally distributed Assumption is incorrect because the dependent variable need not be normally distributed 28 B is correct The standard error of the estimate for a linear regression model with one independent variable is calculated as the square root of the mean square error: √ _ 0.071475 34 = 0.04585. se = _ 29 C is correct Crude oil returns explain the Amtex share returns if the slope coefficient is statistically different from zero The slope coefficient is 0.2354, and the calculated t-statistic is 0.2354 − 0.0000 = 3.0974, t = 0.0760 which is outside the bounds of the critical values of ±2.728 Therefore, Vasileva should reject the null hypothesis that crude oil returns not explain Amtex share returns, because the slope coefficient is statistically different from zero A is incorrect because the calculated t-statistic for testing the slope against 0.15 is 0.2354 − 0.1500 t = = 1.1237, which is less than the critical value of +2.441 0.0760 0.0095 − 0.0000 B is incorrect because the calculated t-statistic is t = = 1.2179, 0.0078 which is less than the critical value of +2.441 30 B is correct The predicted value of the dependent variable, Amtex share return, given the value of the independent variable, crude oil return, −0.01, is calculated as Y ˆ = b ˆ 0 + b ˆ 1 Xi = 0.0095 + [ 0.2354 × ( − 0.01) ] = 0.0071. 31 C is correct The predicted share return is 0.0095 + [0.2354 × (−0.01)] = 0.0071 The lower limit for the prediction interval is 0.0071 − (2.728 × 0.0469) = −0.1208, and the upper limit for the prediction interval is 0.0071 + (2.728 × 0.0469) = 0.1350 A is incorrect because the bounds of the interval should be based on the standard error of the forecast and the critical t-value, not on the mean of the dependent variable B is incorrect because bounds of the interval are based on the product of the standard error of the forecast and the critical t-value, not simply the standard error of the forecast 32 A is correct We fail to reject the null hypothesis of a slope equal to one, and we fail to reject the null hypothesis of an intercept equal to zero The test of the slope equal to 1.0 is t = _ 0.9830 − 1.000 = − 1.09677 The test of the intercept equal to 0.0155 491 492 Learning Module © CFA Institute For candidate use only Not for distribution Introduction to Linear Regression 0.0001 − 0.0000 0.0 is t = = 0.5000 Therefore, we conclude that the forecasts are 00002 unbiased 33 A is correct The forecast interval for inflation is calculated in three steps: Step Make the prediction given the US CPI forecast of 2.8: ⌢ Y = b 0 + b1 X ( 0.9830 × 2.8 ) = 0.0001 + = 2.7525 Step Compute the variance of the prediction error: _ ] / [ ( n − 1) × sx 2 ] } s f2 = s e 2 {1 + ( 1 / n) + [ (Xf − X ) s f2 = 0.0009 2 { 1 + ( 1 / 60) + [ (2.8 − 1.3350) 2] / [ ( 60 − 1) × 0.7539 2] } s f2 = 0.00000088 s f = 0.0009 Step Compute the prediction interval: ˆ ± tc × s f Y 2.7525 ± (2.0 × 0.0009) Lower bound: 2.7525 − (2.0 × 0.0009) = 2.7506 Upper bound: 2.7525 + (2.0 × 0.0009) = 2.7544 So, given the US CPI forecast of 2.8, the 95% prediction interval is 2.7506 to 2.7544 34 B is correct The confidence level influences the width of the forecast interval through the critical t-value that is used to calculate the distance from the forecasted value: The larger the confidence level, the wider the interval Therefore, Observation is not correct Observation is correct The greater the standard error of the estimate, the greater the standard error of the forecast 35 B is correct The coefficient of determination is 102.9152 ÷ 105.1303 = 0.9789 36 A_ is correct The standard error is the square root of the mean square error, or = 0.2631 √ 0.0692 37 B is correct The p-value corresponding to the slope is less than 0.01, so we reject the null hypothesis of a zero slope, concluding that the fixed asset turnover explains the natural log of the net profit margin 38 C is correct The predicted natural log of the net profit margin is 0.5987 + (2 × 0.2951) = 1.1889 The predicted net profit margin is e 1.1889 = 3.2835% 39 C is correct Under the weighted average cost method: October purchases 10,000 units $100,000 November purchases 5,000 units $55,000 Total 15,000 units $155,000 $155,000/15,000 units = $10.3333 $10.3333 × 12,000 units = $124,000 Solutions © CFA Institute For candidate use only Not for distribution APPENDICES Appendix A Appendix B Cumulative Probabilities for a Standard Normal Distribution Table of the Student’s t-Distribution (One-Tailed Probabilities) Appendix C Values of X2 (Degrees of Freedom, Level of Significance) Appendix E Critical Values for the Durbin-Watson Statistic (α = 05) Appendix D Table of the F-Distribution 493 © CFA Institute For candidate use only Not for distribution 494 Appendix A Cumulative Probabilities for a Standard Normal Distribution P(Z ≤ x) = N(x) for x ≥ or P(Z ≤ z) = N(z) for z ≥ x or z 0.01 0.02 0.03 0.04 0.05 0.06 0.07 0.08 0.09 0.00 0.5000 0.5040 0.5080 0.5120 0.5160 0.5199 0.5239 0.5279 0.5319 0.5359 0.10 0.5398 0.5438 0.5478 0.5517 0.5557 0.5596 0.5636 0.5675 0.5714 0.5753 0.20 0.5793 0.5832 0.5871 0.5910 0.5948 0.5987 0.6026 0.6064 0.6103 0.6141 0.30 0.6179 0.6217 0.6255 0.6293 0.6331 0.6368 0.6406 0.6443 0.6480 0.6517 0.40 0.6554 0.6591 0.6628 0.6664 0.6700 0.6736 0.6772 0.6808 0.6844 0.6879 0.50 0.6915 0.6950 0.6985 0.7019 0.7054 0.7088 0.7123 0.7157 0.7190 0.7224 0.60 0.7257 0.7291 0.7324 0.7357 0.7389 0.7422 0.7454 0.7486 0.7517 0.7549 0.70 0.7580 0.7611 0.7642 0.7673 0.7704 0.7734 0.7764 0.7794 0.7823 0.7852 0.80 0.7881 0.7910 0.7939 0.7967 0.7995 0.8023 0.8051 0.8078 0.8106 0.8133 0.90 0.8159 0.8186 0.8212 0.8238 0.8264 0.8289 0.8315 0.8340 0.8365 0.8389 1.00 0.8413 0.8438 0.8461 0.8485 0.8508 0.8531 0.8554 0.8577 0.8599 0.8621 1.10 0.8643 0.8665 0.8686 0.8708 0.8729 0.8749 0.8770 0.8790 0.8810 0.8830 1.20 0.8849 0.8869 0.8888 0.8907 0.8925 0.8944 0.8962 0.8980 0.8997 0.9015 1.30 0.9032 0.9049 0.9066 0.9082 0.9099 0.9115 0.9131 0.9147 0.9162 0.9177 1.40 0.9192 0.9207 0.9222 0.9236 0.9251 0.9265 0.9279 0.9292 0.9306 0.9319 1.50 0.9332 0.9345 0.9357 0.9370 0.9382 0.9394 0.9406 0.9418 0.9429 0.9441 1.60 0.9452 0.9463 0.9474 0.9484 0.9495 0.9505 0.9515 0.9525 0.9535 0.9545 1.70 0.9554 0.9564 0.9573 0.9582 0.9591 0.9599 0.9608 0.9616 0.9625 0.9633 1.80 0.9641 0.9649 0.9656 0.9664 0.9671 0.9678 0.9686 0.9693 0.9699 0.9706 1.90 0.9713 0.9719 0.9726 0.9732 0.9738 0.9744 0.9750 0.9756 0.9761 0.9767 2.00 0.9772 0.9778 0.9783 0.9788 0.9793 0.9798 0.9803 0.9808 0.9812 0.9817 2.10 0.9821 0.9826 0.9830 0.9834 0.9838 0.9842 0.9846 0.9850 0.9854 0.9857 2.20 0.9861 0.9864 0.9868 0.9871 0.9875 0.9878 0.9881 0.9884 0.9887 0.9890 2.30 0.9893 0.9896 0.9898 0.9901 0.9904 0.9906 0.9909 0.9911 0.9913 0.9916 2.40 0.9918 0.9920 0.9922 0.9925 0.9927 0.9929 0.9931 0.9932 0.9934 0.9936 2.50 0.9938 0.9940 0.9941 0.9943 0.9945 0.9946 0.9948 0.9949 0.9951 0.9952 2.60 0.9953 0.9955 0.9956 0.9957 0.9959 0.9960 0.9961 0.9962 0.9963 0.9964 2.70 0.9965 0.9966 0.9967 0.9968 0.9969 0.9970 0.9971 0.9972 0.9973 0.9974 2.80 0.9974 0.9975 0.9976 0.9977 0.9977 0.9978 0.9979 0.9979 0.9980 0.9981 2.90 0.9981 0.9982 0.9982 0.9983 0.9984 0.9984 0.9985 0.9985 0.9986 0.9986 3.00 0.9987 0.9987 0.9987 0.9988 0.9988 0.9989 0.9989 0.9989 0.9990 0.9990 3.10 0.9990 0.9991 0.9991 0.9991 0.9992 0.9992 0.9992 0.9992 0.9993 0.9993 3.20 0.9993 0.9993 0.9994 0.9994 0.9994 0.9994 0.9994 0.9995 0.9995 0.9995 3.30 0.9995 0.9995 0.9995 0.9996 0.9996 0.9996 0.9996 0.9996 0.9996 0.9997 3.40 0.9997 0.9997 0.9997 0.9997 0.9997 0.9997 0.9997 0.9997 0.9997 0.9998 3.50 0.9998 0.9998 0.9998 0.9998 0.9998 0.9998 0.9998 0.9998 0.9998 0.9998 3.60 0.9998 0.9998 0.9999 0.9999 0.9999 0.9999 0.9999 0.9999 0.9999 0.9999 3.70 0.9999 0.9999 0.9999 0.9999 0.9999 0.9999 0.9999 0.9999 0.9999 0.9999 3.80 0.9999 0.9999 0.9999 0.9999 0.9999 0.9999 0.9999 0.9999 0.9999 0.9999 3.90 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 4.00 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 1.0000 For example, to find the z-value leaving 2.5 percent of the area/probability in the upper tail, find the element 0.9750 in the body of the table Read 1.90 at the left end of the element’s row and 0.06 at the top of the element’s column, to give 1.90 + 0.06 = 1.96 Table generated with Excel Quantitative Methods for Investment Analysis, Second Edition, by Richard A DeFusco, CFA, Dennis W McLeavey, CFA, Jerald E Pinto, CFA, and David E Runkle, CFA Copyright © 2004 by CFA Institute © CFA Institute For candidate use only Not for distribution Functional Forms for Simple Linear Regression 495 Appendix A (continued) Cumulative Probabilities for a Standard Normal Distribution P(Z ≤ x) = N(x) for x ≤ or P(Z ≤ z) = N(z) for z ≤ x or z 0.01 0.02 0.03 0.04 0.05 0.06 0.07 0.08 0.09 0.0 0.5000 0.4960 0.4920 0.4880 0.4840 0.4801 0.4761 0.4721 0.4681 0.4641 −0.10 0.4602 0.4562 0.4522 0.4483 0.4443 0.4404 0.4364 0.4325 0.4286 0.4247 −0.20 0.4207 0.4168 0.4129 0.4090 0.4052 0.4013 0.3974 0.3936 0.3897 0.3859 −0.30 0.3821 0.3783 0.3745 0.3707 0.3669 0.3632 0.3594 0.3557 0.3520 0.3483 −0.40 0.3446 0.3409 0.3372 0.3336 0.3300 0.3264 0.3228 0.3192 0.3156 0.3121 −0.50 0.3085 0.3050 0.3015 0.2981 0.2946 0.2912 0.2877 0.2843 0.2810 0.2776 −0.60 0.2743 0.2709 0.2676 0.2643 0.2611 0.2578 0.2546 0.2514 0.2483 0.2451 −0.70 0.2420 0.2389 0.2358 0.2327 0.2296 0.2266 0.2236 0.2206 0.2177 0.2148 −0.80 0.2119 0.2090 0.2061 0.2033 0.2005 0.1977 0.1949 0.1922 0.1894 0.1867 −0.90 0.1841 0.1814 0.1788 0.1762 0.1736 0.1711 0.1685 0.1660 0.1635 0.1611 −1.00 0.1587 0.1562 0.1539 0.1515 0.1492 0.1469 0.1446 0.1423 0.1401 0.1379 −1.10 0.1357 0.1335 0.1314 0.1292 0.1271 0.1251 0.1230 0.1210 0.1190 0.1170 −1.20 0.1151 0.1131 0.1112 0.1093 0.1075 0.1056 0.1038 0.1020 0.1003 0.0985 −1.30 0.0968 0.0951 0.0934 0.0918 0.0901 0.0885 0.0869 0.0853 0.0838 0.0823 −1.40 0.0808 0.0793 0.0778 0.0764 0.0749 0.0735 0.0721 0.0708 0.0694 0.0681 0.0559 −1.50 0.0668 0.0655 0.0643 0.0630 0.0618 0.0606 0.0594 0.0582 0.0571 −1.60 0.0548 0.0537 0.0526 0.0516 0.0505 0.0495 0.0485 0.0475 0.0465 0.0455 −1.70 0.0446 0.0436 0.0427 0.0418 0.0409 0.0401 0.0392 0.0384 0.0375 0.0367 −1.80 0.0359 0.0351 0.0344 0.0336 0.0329 0.0322 0.0314 0.0307 0.0301 0.0294 −1.90 0.0287 0.0281 0.0274 0.0268 0.0262 0.0256 0.0250 0.0244 0.0239 0.0233 −2.00 0.0228 0.0222 0.0217 0.0212 0.0207 0.0202 0.0197 0.0192 0.0188 0.0183 −2.10 0.0179 0.0174 0.0170 0.0166 0.0162 0.0158 0.0154 0.0150 0.0146 0.0143 −2.20 0.0139 0.0136 0.0132 0.0129 0.0125 0.0122 0.0119 0.0116 0.0113 0.0110 −2.30 0.0107 0.0104 0.0102 0.0099 0.0096 0.0094 0.0091 0.0089 0.0087 0.0084 0.0064 −2.40 0.0082 0.0080 0.0078 0.0075 0.0073 0.0071 0.0069 0.0068 0.0066 −2.50 0.0062 0.0060 0.0059 0.0057 0.0055 0.0054 0.0052 0.0051 0.0049 0.0048 −2.60 0.0047 0.0045 0.0044 0.0043 0.0041 0.0040 0.0039 0.0038 0.0037 0.0036 −2.70 0.0035 0.0034 0.0033 0.0032 0.0031 0.0030 0.0029 0.0028 0.0027 0.0026 −2.80 0.0026 0.0025 0.0024 0.0023 0.0023 0.0022 0.0021 0.0021 0.0020 0.0019 −2.90 0.0019 0.0018 0.0018 0.0017 0.0016 0.0016 0.0015 0.0015 0.0014 0.0014 −3.00 0.0013 0.0013 0.0013 0.0012 0.0012 0.0011 0.0011 0.0011 0.0010 0.0010 −3.10 0.0010 0.0009 0.0009 0.0009 0.0008 0.0008 0.0008 0.0008 0.0007 0.0007 −3.20 0.0007 0.0007 0.0006 0.0006 0.0006 0.0006 0.0006 0.0005 0.0005 0.0005 0.0003 −3.30 0.0005 0.0005 0.0005 0.0004 0.0004 0.0004 0.0004 0.0004 0.0004 −3.40 0.0003 0.0003 0.0003 0.0003 0.0003 0.0003 0.0003 0.0003 0.0003 0.0002 −3.50 0.0002 0.0002 0.0002 0.0002 0.0002 0.0002 0.0002 0.0002 0.0002 0.0002 −3.60 0.0002 0.0002 0.0001 0.0001 0.0001 0.0001 0.0001 0.0001 0.0001 0.0001 −3.70 0.0001 0.0001 0.0001 0.0001 0.0001 0.0001 0.0001 0.0001 0.0001 0.0001 −3.80 0.0001 0.0001 0.0001 0.0001 0.0001 0.0001 0.0001 0.0001 0.0001 0.0001 −3.90 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 −4.00 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 0.0000 For example, to find the z-value leaving 2.5 percent of the area/probability in the lower tail, find the element 0.0250 in the body of the table Read –1.90 at the left end of the element’s row and 0.06 at the top of the element’s column, to give –1.90 – 0.06 = –1.96 Table generated with Excel 1.310 1.311 1.313 1.314 1.315 1.316 1.318 1.319 1.321 1.323 1.325 1.328 1.330 1.333 1.337 1.341 1.345 1.350 1.356 1.363 1.372 1.383 1.397 1.415 1.440 1.476 1.533 1.638 1.697 1.699 1.701 1.703 1.706 1.708 1.711 1.714 1.717 1.721 1.725 1.729 1.734 1.740 1.746 1.753 1.761 1.771 1.782 1.796 1.812 1.833 1.860 1.895 1.943 2.015 2.132 2.353 2.920 6.314 p = 0.05 2.042 2.045 2.048 2.052 2.056 2.060 2.064 2.069 2.074 2.080 2.086 2.093 2.101 2.110 2.120 2.131 2.145 2.160 2.179 2.201 2.228 2.262 2.306 2.365 2.447 2.571 2.776 3.182 4.303 12.706 p = 0.025 2.457 2.462 2.467 2.473 2.479 2.485 2.492 2.500 2.508 2.518 2.528 2.539 2.552 2.567 2.583 2.602 2.624 2.650 2.681 2.718 2.764 2.821 2.896 2.998 3.143 3.365 3.747 4.541 6.965 31.821 p = 0.01 2.750 2.756 2.763 2.771 2.779 2.787 2.797 2.807 2.819 2.831 2.845 2.861 2.878 2.898 2.921 2.947 2.977 3.012 3.055 3.106 3.169 3.250 3.355 3.499 3.707 4.032 4.604 5.841 9.925 63.657 p = 0.005 200 120 110 100 90 80 70 60 50 49 48 47 46 45 44 43 42 41 40 39 38 37 36 35 34 33 32 31 df ∞ 1.282 1.286 1.289 1.289 1.290 1.291 1.292 1.294 1.296 1.299 1.299 1.299 1.300 1.300 1.301 1.301 1.302 1.302 1.303 1.303 1.304 1.304 1.305 1.306 1.306 1.307 1.308 1.309 1.309 p = 0.10 1.645 1.653 1.658 1.659 1.660 1.662 1.664 1.667 1.671 1.676 1.677 1.677 1.678 1.679 1.679 1.680 1.681 1.682 1.683 1.684 1.685 1.686 1.687 1.688 1.690 1.691 1.692 1.694 1.696 p = 0.05 1.960 1.972 1.980 1.982 1.984 1.987 1.990 1.994 2.000 2.009 2.010 2.011 2.012 2.013 2.014 2.015 2.017 2.018 2.020 2.021 2.023 2.024 2.026 2.028 2.030 2.032 2.035 2.037 2.040 p = 0.025 2.326 2.345 2.358 2.361 2.364 2.368 2.374 2.381 2.390 2.403 2.405 2.407 2.408 2.410 2.412 2.414 2.416 2.418 2.421 2.423 2.426 2.429 2.431 2.434 2.438 2.441 2.445 2.449 2.453 p = 0.01 2.576 2.601 2.617 2.621 2.626 2.632 2.639 2.648 2.660 2.678 2.680 2.682 2.685 2.687 2.690 2.692 2.695 2.698 2.701 2.704 2.708 2.712 2.715 2.719 2.724 2.728 2.733 2.738 2.744 p = 0.005 Quantitative Methods for Investment Analysis, Second Edition, by Richard A DeFusco, CFA, Dennis W McLeavey, CFA, Jerald E Pinto, CFA, and David E Runkle, CFA Copyright © 2004 by CFA Institute To find a critical t-value, enter the table with df and a specified value for a, the significance level For example, with df, α = 0.05 and a one-tailed test, the desired probability in the tail would be p = 0.05 and the critical t-value would be t(5, 0.05) = 2.015 With α =0.05 and a two-tailed test, the desired probability in each tail would be p = 0.025 =α/2, giving t(0.025) = 2.571 Table generated using Excel 30 29 28 27 26 25 24 23 22 21 20 19 18 17 16 15 14 13 12 11 10 1.886 3.078 p = 0.10 df 496 © CFA Institute For candidate use only Not for distribution Appendix B Table of the Student’s t-Distribution (One-Tailed Probabilities) © CFA Institute For candidate use only Not for distribution Functional Forms for Simple Linear Regression 497 Appendix C Values of χ2 (Degrees of Freedom, Level of Significance) Degrees of Freedom Probability in Right Tail 0.99 0.975 0.95 0.9 0.1 0.05 0.025 0.01 0.005 0.000157 0.000982 0.003932 0.0158 2.706 3.841 5.024 6.635 7.879 0.020100 0.050636 0.102586 0.2107 4.605 5.991 7.378 9.210 10.597 0.1148 0.2158 0.3518 0.5844 6.251 7.815 9.348 11.345 12.838 0.297 0.484 0.711 1.064 7.779 9.488 11.143 13.277 14.860 0.554 0.831 1.145 1.610 9.236 11.070 12.832 15.086 16.750 0.872 1.237 1.635 2.204 10.645 12.592 14.449 16.812 18.548 1.239 1.690 2.167 2.833 12.017 14.067 16.013 18.475 20.278 1.647 2.180 2.733 3.490 13.362 15.507 17.535 20.090 21.955 2.088 2.700 3.325 4.168 14.684 16.919 19.023 21.666 23.589 10 2.558 3.247 3.940 4.865 15.987 18.307 20.483 23.209 25.188 11 3.053 3.816 4.575 5.578 17.275 19.675 21.920 24.725 26.757 12 3.571 4.404 5.226 6.304 18.549 21.026 23.337 26.217 28.300 13 4.107 5.009 5.892 7.041 19.812 22.362 24.736 27.688 29.819 14 4.660 5.629 6.571 7.790 21.064 23.685 26.119 29.141 31.319 15 5.229 6.262 7.261 8.547 22.307 24.996 27.488 30.578 32.801 16 5.812 6.908 7.962 9.312 23.542 26.296 28.845 32.000 34.267 17 6.408 7.564 8.672 10.085 24.769 27.587 30.191 33.409 35.718 18 7.015 8.231 9.390 10.865 25.989 28.869 31.526 34.805 37.156 19 7.633 8.907 10.117 11.651 27.204 30.144 32.852 36.191 38.582 20 8.260 9.591 10.851 12.443 28.412 31.410 34.170 37.566 39.997 21 8.897 10.283 11.591 13.240 29.615 32.671 35.479 38.932 41.401 22 9.542 10.982 12.338 14.041 30.813 33.924 36.781 40.289 42.796 23 10.196 11.689 13.091 14.848 32.007 35.172 38.076 41.638 44.181 24 10.856 12.401 13.848 15.659 33.196 36.415 39.364 42.980 45.558 25 11.524 13.120 14.611 16.473 34.382 37.652 40.646 44.314 46.928 26 12.198 13.844 15.379 17.292 35.563 38.885 41.923 45.642 48.290 27 12.878 14.573 16.151 18.114 36.741 40.113 43.195 46.963 49.645 28 13.565 15.308 16.928 18.939 37.916 41.337 44.461 48.278 50.994 29 14.256 16.047 17.708 19.768 39.087 42.557 45.722 49.588 52.335 30 14.953 16.791 18.493 20.599 40.256 43.773 46.979 50.892 53.672 50 29.707 32.357 34.764 37.689 63.167 67.505 71.420 76.154 79.490 60 37.485 40.482 43.188 46.459 74.397 79.082 83.298 88.379 91.952 80 53.540 57.153 60.391 64.278 96.578 101.879 106.629 112.329 116.321 100 70.065 74.222 77.929 82.358 118.498 124.342 129.561 135.807 140.170 To have a probability of 0.05 in the right tail when df = 5, the tabled value is χ (5, 0.05) = 11.070 Quantitative Methods for Investment Analysis, Second Edition, by Richard A DeFusco, CFA, Dennis W McLeavey, CFA, Jerald E Pinto, CFA, and David E Runkle, CFA Copyright © 2004 by CFA Institute 161 5.32 4.84 23 3.42 60 Infinity 120 3.84 3.00 3.07 3.15 3.92 4.00 3.32 3.23 4.17 3.39 4.08 30 40 4.24 3.40 4.28 4.26 25 24 3.47 3.44 4.32 3.49 4.30 21 22 4.35 3.52 3.55 4.38 4.41 3.63 3.59 4.49 4.45 3.68 3.74 3.81 3.89 3.98 4.10 4.26 4.46 4.74 5.14 5.79 6.94 9.55 19.0 200 4.54 4.60 4.67 20 19 18 17 16 15 14 13 4.75 11 12 4.96 5.12 10 5.59 5.99 6.61 7.71 10.1 18.5 df2: df1:1 2.60 2.68 2.76 2.84 2.92 2.99 3.01 3.03 3.05 3.07 3.10 3.13 3.16 3.20 3.24 3.29 3.34 3.41 3.49 3.59 3.71 3.86 4.07 4.35 4.76 5.41 6.59 9.28 19.2 216 2.37 2.45 2.53 2.61 2.69 2.76 2.78 2.80 2.82 2.84 2.87 2.90 2.93 2.96 3.01 3.06 3.11 3.18 3.26 3.36 3.48 3.63 3.84 4.12 4.53 5.19 6.39 9.12 19.2 225 2.21 2.29 2.37 2.45 2.53 2.60 2.62 2.64 2.66 2.68 2.71 2.74 2.77 2.81 2.85 2.90 2.96 3.03 3.11 3.20 3.33 3.48 3.69 3.97 4.39 5.05 6.26 9.01 19.3 230 2.10 2.18 2.25 2.34 2.42 2.49 2.51 2.53 2.55 2.57 2.60 2.63 2.66 2.70 2.74 2.79 2.85 2.92 3.00 3.09 3.22 3.37 3.58 3.87 4.28 4.95 6.16 8.94 19.3 234 2.01 2.09 2.17 2.25 2.33 2.40 2.42 2.44 2.46 2.49 2.51 2.54 2.58 2.61 2.66 2.71 2.76 2.83 2.91 3.01 3.14 3.29 3.50 3.79 4.21 4.88 6.09 8.89 19.4 237 1.94 2.02 2.10 2.18 2.27 2.34 2.36 2.37 2.40 2.42 2.45 2.48 2.51 2.55 2.59 2.64 2.70 2.77 2.85 2.95 3.07 3.23 3.44 3.73 4.15 4.82 6.04 8.85 19.4 239 Panel A Critical values for right-hand tail area equal to 0.05 1.88 1.96 2.04 2.12 2.21 2.28 2.30 2.32 2.34 2.37 2.39 2.42 2.46 2.49 2.54 2.59 2.65 2.71 2.80 2.90 3.02 3.18 3.39 3.68 4.10 4.77 6.00 8.81 19.4 241 1.83 1.91 1.99 2.08 2.16 2.24 2.25 2.27 2.30 2.32 2.35 2.38 2.41 2.45 2.49 2.54 2.60 2.67 2.75 2.85 2.98 3.14 3.35 3.64 4.06 4.74 5.96 8.79 19.4 242 10 1.79 1.87 1.95 2.04 2.13 2.20 2.22 2.24 2.26 2.28 2.31 2.34 2.37 2.41 2.46 2.51 2.57 2.63 2.72 2.82 2.94 3.10 3.31 3.60 4.03 4.70 5.94 8.76 19.4 243 11 1.75 1.83 1.92 2.00 2.09 2.16 2.18 2.20 2.23 2.25 2.28 2.31 2.34 2.38 2.42 2.48 2.53 2.60 2.69 2.79 2.91 3.07 3.28 3.57 4.00 4.68 5.91 8.74 19.4 244 12 1.67 1.75 1.84 1.92 2.01 2.09 2.11 2.13 2.15 2.18 2.20 2.23 2.27 2.31 2.35 2.40 2.46 2.53 2.62 2.72 2.85 3.01 3.22 3.51 3.94 4.62 5.86 8.70 19.4 246 15 1.57 1.66 1.75 1.84 1.93 2.01 2.03 2.05 2.07 2.10 2.12 2.16 2.19 2.23 2.28 2.33 2.39 2.46 2.54 2.65 2.77 2.94 3.15 3.44 3.87 4.56 5.80 8.66 19.4 248 20 1.56 1.64 1.73 1.83 1.92 2.00 2.01 2.04 2.06 2.08 2.11 2.14 2.18 2.22 2.26 2.32 2.38 2.45 2.53 2.64 2.76 2.93 3.14 3.43 3.86 4.55 5.79 8.65 19.4 248 21 1.54 1.63 1.72 1.81 1.91 1.98 2.00 2.02 2.05 2.07 2.10 2.13 2.17 2.21 2.25 2.31 2.37 2.44 2.52 2.63 2.75 2.92 3.13 3.43 3.86 4.54 5.79 8.65 19.5 249 22 1.53 1.62 1.71 1.80 1.90 1.97 1.99 2.01 2.04 2.06 2.09 2.12 2.16 2.20 2.24 2.30 2.36 2.43 2.51 2.62 2.75 2.91 3.12 3.42 3.85 4.53 5.78 8.64 19.5 249 23 1.52 1.61 1.70 1.79 1.89 1.96 1.98 2.01 2.03 2.05 2.08 2.11 2.15 2.19 2.24 2.29 2.35 2.42 2.51 2.61 2.74 2.90 3.12 3.41 3.84 4.53 5.77 8.64 19.5 249 24 1.51 1.60 1.69 1.78 1.88 1.96 1.97 2.00 2.02 2.05 2.07 2.11 2.14 2.18 2.23 2.28 2.34 2.41 2.50 2.60 2.73 2.89 3.11 3.40 3.83 4.52 5.77 8.63 19.5 249 25 1.46 1.55 1.65 1.74 1.84 1.92 1.94 1.96 1.98 2.01 2.04 2.07 2.11 2.15 2.19 2.25 2.31 2.38 2.47 2.57 2.70 2.86 3.08 3.38 3.81 4.50 5.75 8.62 19.5 250 30 1.39 1.50 1.59 1.69 1.79 1.87 1.89 1.91 1.94 1.96 1.99 2.03 2.06 2.10 2.15 2.20 2.27 2.34 2.43 2.53 2.66 2.83 3.04 3.34 3.77 4.46 5.72 8.59 19.5 251 40 Numerator: df1 and Denominator: df2 1.32 1.43 1.53 1.64 1.74 1.82 1.84 1.86 1.89 1.92 1.95 1.98 2.02 2.06 2.11 2.16 2.22 2.30 2.38 2.49 2.62 2.79 3.01 3.30 3.74 4.43 5.69 8.57 19.5 252 60 1.22 1.35 1.47 1.58 1.68 1.77 1.79 1.81 1.84 1.87 1.90 1.93 1.97 2.01 2.06 2.11 2.18 2.25 2.34 2.45 2.58 2.75 2.97 3.27 3.70 4.40 5.66 8.55 19.5 253 120 1.00 1.25 1.39 1.51 1.62 1.71 1.73 1.76 1.78 1.81 1.84 1.88 1.92 1.96 2.01 2.07 2.13 2.21 2.30 2.40 2.54 2.71 2.93 3.23 3.67 4.37 5.63 8.53 19.5 254 ∞ 498 © CFA Institute For candidate use only Not for distribution Appendix D Table of the F-Distribution 648 8.81 6.55 18 5.98 5.83 23 5.75 5.57 60 Infinity 120 5.02 5.15 5.29 5.42 30 40 5.69 5.72 25 24 5.79 21 22 5.87 5.92 20 19 6.04 6.12 16 17 6.20 6.30 6.41 15 14 13 12 6.94 6.72 10 7.21 7.57 11 8.07 3.69 3.80 3.93 4.05 4.18 4.29 4.32 4.35 4.38 4.42 4.46 4.51 4.56 4.62 4.69 4.77 4.86 4.97 5.10 5.26 5.46 5.71 6.06 6.54 7.26 8.43 12.22 10.65 864 900 922 937 948 957 963 969 10 973 11 977 12 985 15 993 20 994 21 995 22 996 23 997 24 998 25 1001 30 1006 40 Numerator: df1 and Denominator: df2 1010 60 1014 120 1018 ∞ 3.12 3.23 3.34 3.46 3.59 3.69 3.72 3.75 3.78 3.82 3.86 3.90 3.95 4.01 4.08 4.15 4.24 4.35 4.47 4.63 4.83 5.08 5.42 5.89 6.60 7.76 9.98 2.79 2.89 3.01 3.13 3.25 3.35 3.38 3.41 3.44 3.48 3.51 3.56 3.61 3.66 3.73 3.80 3.89 4.00 4.12 4.28 4.47 4.72 5.05 5.52 6.23 7.39 9.60 2.57 2.67 2.79 2.90 3.03 3.13 3.15 3.18 3.22 3.25 3.29 3.33 3.38 3.44 3.50 3.58 3.66 3.77 3.89 4.04 4.24 4.48 4.82 5.29 5.99 7.15 9.36 2.41 2.52 2.63 2.74 2.87 2.97 2.99 3.02 3.05 3.09 3.13 3.17 3.22 3.28 3.34 3.41 3.50 3.60 3.73 3.88 4.07 4.32 4.65 5.12 5.82 6.98 9.20 2.29 2.39 2.51 2.62 2.75 2.85 2.87 2.90 2.93 2.97 3.01 3.05 3.10 3.16 3.22 3.29 3.38 3.48 3.61 3.76 3.95 4.20 4.53 4.99 5.70 6.85 9.07 2.19 2.30 2.41 2.53 2.65 2.75 2.78 2.81 2.84 2.87 2.91 2.96 3.01 3.06 3.12 3.20 3.29 3.39 3.51 3.66 3.85 4.10 4.43 4.90 5.60 6.76 8.98 2.11 2.22 2.33 2.45 2.57 2.68 2.70 2.73 2.76 2.80 2.84 2.88 2.93 2.98 3.05 3.12 3.21 3.31 3.44 3.59 3.78 4.03 4.36 4.82 5.52 6.68 8.90 2.05 2.16 2.27 2.39 2.51 2.61 2.64 2.67 2.70 2.73 2.77 2.82 2.87 2.92 2.99 3.06 3.15 3.25 3.37 3.53 3.72 3.96 4.30 4.76 5.46 6.62 8.84 1.99 2.10 2.22 2.33 2.46 2.56 2.59 2.62 2.65 2.68 2.72 2.76 2.81 2.87 2.93 3.01 3.09 3.20 3.32 3.47 3.66 3.91 4.24 4.71 5.41 6.57 8.79 1.94 2.05 2.17 2.29 2.41 2.51 2.54 2.57 2.60 2.64 2.68 2.72 2.77 2.82 2.89 2.96 3.05 3.15 3.28 3.43 3.62 3.87 4.20 4.67 5.37 6.52 8.75 1.83 1.94 2.06 2.18 2.31 2.41 2.44 2.47 2.50 2.53 2.57 2.62 2.67 2.72 2.79 2.86 2.95 3.05 3.18 3.33 3.52 3.77 4.10 4.57 5.27 6.43 8.66 1.71 1.82 1.94 2.07 2.20 2.30 2.33 2.36 2.39 2.42 2.46 2.51 2.56 2.62 2.68 2.76 2.84 2.95 3.07 3.23 3.42 3.67 4.00 4.47 5.17 6.33 8.56 1.69 1.81 1.93 2.05 2.18 2.28 2.31 2.34 2.37 2.41 2.45 2.49 2.54 2.60 2.67 2.74 2.83 2.93 3.06 3.21 3.40 3.65 3.98 4.45 5.15 6.31 8.55 1.67 1.79 1.91 2.03 2.16 2.27 2.30 2.33 2.36 2.39 2.43 2.48 2.53 2.59 2.65 2.73 2.81 2.92 3.04 3.20 3.39 3.64 3.97 4.44 5.14 6.30 8.53 1.66 1.77 1.90 2.02 2.15 2.26 2.28 2.31 2.34 2.38 2.42 2.46 2.52 2.57 2.64 2.71 2.80 2.91 3.03 3.18 3.38 3.63 3.96 4.43 5.13 6.29 8.52 1.64 1.76 1.88 2.01 2.14 2.24 2.27 2.30 2.33 2.37 2.41 2.45 2.50 2.56 2.63 2.70 2.79 2.89 3.02 3.17 3.37 3.61 3.95 4.41 5.12 6.28 8.51 1.63 1.75 1.87 1.99 2.12 2.23 2.26 2.29 2.32 2.36 2.40 2.44 2.49 2.55 2.61 2.69 2.78 2.88 3.01 3.16 3.35 3.60 3.94 4.40 5.11 6.27 8.50 1.57 1.69 1.82 1.94 2.07 2.18 2.21 2.24 2.27 2.31 2.35 2.39 2.44 2.50 2.57 2.64 2.73 2.84 2.96 3.12 3.31 3.56 3.89 4.36 5.07 6.23 8.46 1.48 1.61 1.74 1.88 2.01 2.12 2.15 2.18 2.21 2.25 2.29 2.33 2.38 2.44 2.51 2.59 2.67 2.78 2.91 3.06 3.26 3.51 3.84 4.31 5.01 6.18 8.41 1.39 1.53 1.67 1.80 1.94 2.05 2.08 2.11 2.14 2.18 2.22 2.27 2.32 2.38 2.45 2.52 2.61 2.72 2.85 3.00 3.20 3.45 3.78 4.25 4.96 6.12 8.36 1.27 1.43 1.58 1.72 1.87 1.98 2.01 2.04 2.08 2.11 2.16 2.20 2.26 2.32 2.38 2.46 2.55 2.66 2.79 2.94 3.14 3.39 3.73 4.20 4.90 6.07 8.31 1.00 1.31 1.48 1.64 1.79 1.91 1.94 1.97 2.00 2.04 2.09 2.13 2.19 2.25 2.32 2.40 2.49 2.60 2.72 2.88 3.08 3.33 3.67 4.14 4.85 6.02 8.26 17.44 16.04 15.44 15.10 14.88 14.73 14.62 14.54 14.47 14.42 14.37 14.34 14.25 14.17 14.16 14.14 14.13 14.12 14.12 14.08 14.04 13.99 13.95 13.90 10.01 799 38.51 39.00 39.17 39.25 39.30 39.33 39.36 39.37 39.39 39.40 39.41 39.41 39.43 39.45 39.45 39.45 39.45 39.46 39.46 39.46 39.47 39.48 39.49 39.50 df2: df1: Panel B Critical values for right-hand tail area equal to 0.025 © CFA Institute For candidate use only Not for distribution Functional Forms for Simple Linear Regression 499 Appendix D (continued) Table of the F-Distribution 13.7 9.65 13 9.07 18 8.29 8.02 23 7.88 7.56 60 Infinity 120 6.63 6.85 7.08 7.31 30 40 7.77 7.82 25 24 7.95 21 22 8.10 8.19 20 19 8.40 8.53 16 17 8.68 8.86 15 14 9.33 11 12 10.0 10.6 11.3 10 12.2 16.3 21.2 34.1 98.5 4052 df2: df1: 4.61 4.79 4.98 5.18 5.39 5.57 5.61 5.66 5.72 5.78 5.85 5.93 6.01 6.11 6.23 6.36 6.51 6.70 6.93 7.21 7.56 8.02 8.65 9.55 10.9 13.3 18.0 30.8 99.0 5000 3.78 3.95 4.13 4.31 4.51 4.68 4.72 4.76 4.82 4.87 4.94 5.01 5.09 5.19 5.29 5.42 5.56 5.74 5.95 6.22 6.55 6.99 7.59 8.45 9.78 12.1 16.7 29.5 99.2 5403 3.32 3.48 3.65 3.83 4.02 4.18 4.22 4.26 4.31 4.37 4.43 4.50 4.58 4.67 4.77 4.89 5.04 5.21 5.41 5.67 5.99 6.42 7.01 7.85 9.15 11.4 16.0 28.7 99.2 5625 3.02 3.17 3.34 3.51 3.70 3.86 3.90 3.94 3.99 4.04 4.10 4.17 4.25 4.34 4.44 4.56 4.70 4.86 5.06 5.32 5.64 6.06 6.63 7.46 8.75 11.0 15.5 28.2 99.3 5764 2.80 2.96 3.12 3.29 3.47 3.63 3.67 3.71 3.76 3.81 3.87 3.94 4.01 4.10 4.20 4.32 4.46 4.62 4.82 5.07 5.39 5.80 6.37 7.19 8.47 10.7 15.2 27.9 99.3 5859 2.64 2.79 2.95 3.12 3.30 3.46 3.50 3.54 3.59 3.64 3.70 3.77 3.84 3.93 4.03 4.14 4.28 4.44 4.64 4.89 5.20 5.61 6.18 6.99 8.26 10.5 15.0 27.7 99.4 5928 2.51 2.66 2.82 2.99 3.17 3.32 3.36 3.41 3.45 3.51 3.56 3.63 3.71 3.79 3.89 4.00 4.14 4.30 4.50 4.74 5.06 5.47 6.03 6.84 8.10 10.3 14.8 27.5 99.4 5982 Panel C Critical values for right-hand tail area equal to 0.01 2.41 2.56 2.72 2.89 3.07 3.22 3.26 3.30 3.35 3.40 3.46 3.52 3.60 3.68 3.78 3.89 4.03 4.19 4.39 4.63 4.94 5.35 5.91 6.72 7.98 10.2 14.7 27.3 99.4 6023 2.32 2.47 2.63 2.80 2.98 3.13 3.17 3.21 3.26 3.31 3.37 3.43 3.51 3.59 3.69 3.80 3.94 4.10 4.30 4.54 4.85 5.26 5.81 6.62 7.87 10.1 14.5 27.2 99.4 6056 10 2.25 2.40 2.56 2.73 2.91 3.06 3.09 3.14 3.18 3.24 3.29 3.36 3.43 3.52 3.62 3.73 3.86 4.02 4.22 4.46 4.77 5.18 5.73 6.54 7.79 10.0 14.5 27.1 99.4 6083 11 2.18 2.34 2.50 2.66 2.84 2.99 3.03 3.07 3.12 3.17 3.23 3.30 3.37 3.46 3.55 3.67 3.80 3.96 4.16 4.40 4.71 5.11 5.67 6.47 7.72 9.89 14.4 27.1 99.4 6106 12 2.04 2.19 2.35 2.52 2.70 2.85 2.89 2.93 2.98 3.03 3.09 3.15 3.23 3.31 3.41 3.52 3.66 3.82 4.01 4.25 4.56 4.96 5.52 6.31 7.56 9.72 14.2 26.9 99.4 6157 15 1.88 2.03 2.20 2.37 2.55 2.70 2.74 2.78 2.83 2.88 2.94 3.00 3.08 3.16 3.26 3.37 3.51 3.66 3.86 4.10 4.41 4.81 5.36 6.16 7.40 9.55 14.0 26.7 99.4 6209 20 1.85 2.01 2.17 2.35 2.53 2.68 2.72 2.76 2.81 2.86 2.92 2.98 3.05 3.14 3.24 3.35 3.48 3.64 3.84 4.08 4.38 4.79 5.34 6.13 7.37 9.53 14.0 26.7 99.5 6216 21 1.83 1.99 2.15 2.33 2.51 2.66 2.70 2.74 2.78 2.84 2.90 2.96 3.03 3.12 3.22 3.33 3.46 3.62 3.82 4.06 4.36 4.77 5.32 6.11 7.35 9.51 14.0 26.6 99.5 6223 1.81 1.97 2.13 2.31 2.49 2.64 2.68 2.72 2.77 2.82 2.88 2.94 3.02 3.10 3.20 3.31 3.44 3.60 3.80 4.04 4.34 4.75 5.30 6.09 7.33 9.49 13.9 26.6 99.5 6229 23 1.79 1.95 2.12 2.29 2.47 2.62 2.66 2.70 2.75 2.80 2.86 2.92 3.00 3.08 3.18 3.29 3.43 3.59 3.78 4.02 4.33 4.73 5.28 6.07 7.31 9.47 13.9 26.6 99.5 6235 24 1.77 1.93 2.10 2.27 2.45 2.60 2.64 2.69 2.73 2.79 2.84 2.91 2.98 3.07 3.16 3.28 3.41 3.57 3.76 4.01 4.31 4.71 5.26 6.06 7.30 9.45 13.9 26.6 99.5 6240 25 1.70 1.86 2.03 2.20 2.39 2.53 2.58 2.62 2.67 2.72 2.78 2.84 2.92 3.00 3.10 3.21 3.35 3.51 3.70 3.94 4.25 4.65 5.20 5.99 7.23 9.38 13.8 26.5 99.5 6261 30 1.59 1.76 1.94 2.11 2.30 2.45 2.49 2.54 2.58 2.64 2.69 2.76 2.84 2.92 3.02 3.13 3.27 3.43 3.62 3.86 4.17 4.57 5.12 5.91 7.14 9.29 13.7 26.4 99.5 6287 40 Numerator: df1 and Denominator: df2 22 1.47 1.66 1.84 2.02 2.21 2.36 2.40 2.45 2.50 2.55 2.61 2.67 2.75 2.83 2.93 3.05 3.18 3.34 3.54 3.78 4.08 4.48 5.03 5.82 7.06 9.20 13.7 26.3 99.5 6313 60 1.32 1.53 1.73 1.92 2.11 2.27 2.31 2.35 2.40 2.46 2.52 2.58 2.66 2.75 2.84 2.96 3.09 3.25 3.45 3.69 4.00 4.40 4.95 5.74 6.97 9.11 13.6 26.2 99.5 6339 120 1.00 1.38 1.60 1.80 2.01 2.17 2.21 2.26 2.31 2.36 2.42 2.49 2.57 2.65 2.75 2.87 3.00 3.17 3.36 3.60 3.91 4.31 4.86 5.65 6.88 9.02 13.5 26.1 99.5 6366 ∞ 500 © CFA Institute For candidate use only Not for distribution Appendix D (continued) Table of the F-Distribution 10 11 12 15 20 21 23 24 25 30 40 Numerator: df1 and Denominator: df2 22 60 120 ∞ 7.88 8.18 8.49 5.30 5.54 5.79 6.07 6.35 6.60 6.66 6.73 6.81 6.89 6.99 7.09 7.21 7.35 7.51 7.70 7.92 8.19 8.51 8.91 9.43 10.11 11.04 12.40 14.54 18.31 26.28 49.80 199.0 4.28 4.50 4.73 4.98 5.24 5.46 5.52 5.58 5.65 5.73 5.82 5.92 6.03 6.16 6.30 6.48 6.68 6.93 7.23 7.60 8.08 8.72 9.60 10.88 12.92 16.53 24.26 47.47 199.2 3.72 3.92 4.14 4.37 4.62 4.84 4.89 4.95 5.02 5.09 5.17 5.27 5.37 5.50 5.64 5.80 6.00 6.23 6.52 6.88 7.34 7.96 8.81 10.05 12.03 15.56 23.15 46.20 199.2 3.35 3.55 3.76 3.99 4.23 4.43 4.49 4.54 4.61 4.68 4.76 4.85 4.96 5.07 5.21 5.37 5.56 5.79 6.07 6.42 6.87 7.47 8.30 9.52 11.46 14.94 22.46 45.39 199.3 3.09 3.28 3.49 3.71 3.95 4.15 4.20 4.26 4.32 4.39 4.47 4.56 4.66 4.78 4.91 5.07 5.26 5.48 5.76 6.10 6.54 7.13 7.95 9.16 11.07 14.51 21.98 44.84 199.3 2.90 3.09 3.29 3.51 3.74 3.94 3.99 4.05 4.11 4.18 4.26 4.34 4.44 4.56 4.69 4.85 5.03 5.25 5.52 5.86 6.30 6.88 7.69 8.89 10.79 14.20 21.62 44.43 199.4 2.74 2.93 3.13 3.35 3.58 3.78 3.83 3.88 3.94 4.01 4.09 4.18 4.28 4.39 4.52 4.67 4.86 5.08 5.35 5.68 6.12 6.69 7.50 8.68 10.57 13.96 21.35 44.13 199.4 2.62 2.81 3.01 3.22 3.45 3.64 3.69 3.75 3.81 3.88 3.96 4.04 4.14 4.25 4.38 4.54 4.72 4.94 5.20 5.54 5.97 6.54 7.34 8.51 10.39 13.77 21.14 43.88 199.4 2.52 2.71 2.90 3.12 3.34 3.54 3.59 3.64 3.70 3.77 3.85 3.93 4.03 4.14 4.27 4.42 4.60 4.82 5.09 5.42 5.85 6.42 7.21 8.38 10.25 13.62 20.97 43.68 199.4 2.43 2.62 2.82 3.03 3.25 3.45 3.50 3.55 3.61 3.68 3.76 3.84 3.94 4.05 4.18 4.33 4.51 4.72 4.99 5.32 5.75 6.31 7.10 8.27 10.13 13.49 20.82 43.52 199.4 2.36 2.54 2.74 2.95 3.18 3.37 3.42 3.47 3.54 3.60 3.68 3.76 3.86 3.97 4.10 4.25 4.43 4.64 4.91 5.24 5.66 6.23 7.01 8.18 10.03 13.38 20.70 43.39 199.4 2.19 2.37 2.57 2.78 3.01 3.20 3.25 3.30 3.36 3.43 3.50 3.59 3.68 3.79 3.92 4.07 4.25 4.46 4.72 5.05 5.47 6.03 6.81 7.97 9.81 13.15 20.44 43.08 199.4 2.00 2.19 2.39 2.60 2.82 3.01 3.06 3.12 3.18 3.24 3.32 3.40 3.50 3.61 3.73 3.88 4.06 4.27 4.53 4.86 5.27 5.83 6.61 7.75 9.59 12.90 20.17 42.78 199.4 1.97 2.16 2.36 2.57 2.80 2.99 3.04 3.09 3.15 3.22 3.29 3.37 3.47 3.58 3.71 3.86 4.03 4.24 4.50 4.83 5.25 5.80 6.58 7.72 9.56 12.87 20.13 42.73 199.4 1.95 2.13 2.33 2.55 2.77 2.96 3.01 3.06 3.12 3.19 3.27 3.35 3.45 3.56 3.68 3.83 4.01 4.22 4.48 4.80 5.22 5.78 6.55 7.69 9.53 12.84 20.09 42.69 199.4 1.92 2.11 2.31 2.52 2.75 2.94 2.99 3.04 3.10 3.17 3.24 3.33 3.42 3.53 3.66 3.81 3.98 4.19 4.45 4.78 5.20 5.75 6.53 7.67 9.50 12.81 20.06 42.66 199.4 1.90 2.09 2.29 2.50 2.73 2.92 2.97 3.02 3.08 3.15 3.22 3.31 3.40 3.51 3.64 3.79 3.96 4.17 4.43 4.76 5.17 5.73 6.50 7.64 9.47 12.78 20.03 42.62 199.4 1.88 2.07 2.27 2.48 2.71 2.90 2.95 3.00 3.06 3.13 3.20 3.29 3.38 3.49 3.62 3.77 3.94 4.15 4.41 4.74 5.15 5.71 6.48 7.62 9.45 12.76 20.00 42.59 199.4 1.79 1.98 2.19 2.40 2.63 2.82 2.87 2.92 2.98 3.05 3.12 3.21 3.30 3.41 3.54 3.69 3.86 4.07 4.33 4.65 5.07 5.62 6.40 7.53 9.36 12.66 19.89 42.47 199.5 1.67 1.87 2.08 2.30 2.52 2.72 2.77 2.82 2.88 2.95 3.02 3.11 3.20 3.31 3.44 3.59 3.76 3.97 4.23 4.55 4.97 5.52 6.29 7.42 9.24 12.53 19.75 42.31 199.5 Quantitative Methods for Investment Analysis, Second Edition, by Richard A DeFusco, CFA, Dennis W McLeavey, CFA, Jerald E Pinto, CFA, and David E Runkle, CFA Copyright © 2004 by CFA Institute With degree of freedom (df ) in the numerator and df in the denominator, the critical F-value is 10.1 for a right-hand tail area equal to 0.05 Infinity 120 60 8.83 9.18 30 40 9.48 9.55 9.63 25 24 23 9.73 9.83 21 22 9.94 10.07 10.22 20 19 18 10.38 10.58 16 17 10.80 11.06 11.37 15 14 13 11.75 12.23 11 12 12.83 13.61 14.69 10 16.24 18.63 22.78 31.33 55.55 198.5 1.53 1.75 1.96 2.18 2.42 2.61 2.66 2.71 2.77 2.84 2.92 3.00 3.10 3.21 3.33 3.48 3.66 3.87 4.12 4.45 4.86 5.41 6.18 7.31 9.12 12.40 19.61 42.15 199.5 1.36 1.61 1.83 2.06 2.30 2.50 2.55 2.60 2.66 2.73 2.81 2.89 2.99 3.10 3.22 3.37 3.55 3.76 4.01 4.34 4.75 5.30 6.06 7.19 9.00 12.27 19.47 41.99 199.5 1.00 1.43 1.69 1.93 2.18 2.38 2.43 2.48 2.55 2.61 2.69 2.78 2.87 2.98 3.11 3.26 3.44 3.65 3.90 4.23 4.64 5.19 5.95 7.08 8.88 12.14 19.32 41.83 200 df2: 16211 20000 21615 22500 23056 23437 23715 23925 24091 24222 24334 24426 24630 24836 24863 24892 24915 24940 24959 25044 25146 25253 25359 25464 df1: Panel D Critical values for right-hand tail area equal to 0.005 © CFA Institute For candidate use only Not for distribution Functional Forms for Simple Linear Regression 501 Appendix D (continued) Table of the F-Distribution © CFA Institute For candidate use only Not for distribution 502 Appendix E Critical Values for the Durbin-Watson Statistic (α = 05) K=1 n dl K=2 du dl K=3 du dl K=4 du dl K=5 du dl du 15 1.08 1.36 0.95 1.54 0.82 1.75 0.69 1.97 0.56 2.21 16 1.10 1.37 0.98 1.54 0.86 1.73 0.74 1.93 0.62 2.15 17 1.13 1.38 1.02 1.54 0.90 1.71 0.78 1.90 0.67 2.10 18 1.16 1.39 1.05 1.53 0.93 1.69 0.82 1.87 0.71 2.06 19 1.18 1.40 1.08 1.53 0.97 1.68 0.86 1.85 0.75 2.02 20 1.20 1.41 1.10 1.54 1.00 1.68 0.90 1.83 0.79 1.99 21 1.22 1.42 1.13 1.54 1.03 1.67 0.93 1.81 0.83 1.96 22 1.24 1.43 1.15 1.54 1.05 1.66 0.96 1.80 0.86 1.94 23 1.26 1.44 1.17 1.54 1.08 1.66 0.99 1.79 0.90 1.92 24 1.27 1.45 1.19 1.55 1.10 1.66 1.01 1.78 0.93 1.90 25 1.29 1.45 1.21 1.55 1.12 1.66 1.04 1.77 0.95 1.89 26 1.30 1.46 1.22 1.55 1.14 1.65 1.06 1.76 0.98 1.88 27 1.32 1.47 1.24 1.56 1.16 1.65 1.08 1.76 1.01 1.86 28 1.33 1.48 1.26 1.56 1.18 1.65 1.10 1.75 1.03 1.85 1.84 29 1.34 1.48 1.27 1.56 1.20 1.65 1.12 1.74 1.05 30 1.35 1.49 1.28 1.57 1.21 1.65 1.14 1.74 1.07 1.83 31 1.36 1.50 1.30 1.57 1.23 1.65 1.16 1.74 1.09 1.83 32 1.37 1.50 1.31 1.57 1.24 1.65 1.18 1.73 1.11 1.82 33 1.38 1.51 1.32 1.58 1.26 1.65 1.19 1.73 1.13 1.81 34 1.39 1.51 1.33 1.58 1.27 1.65 1.21 1.73 1.15 1.81 35 1.40 1.52 1.34 1.58 1.28 1.65 1.22 1.73 1.16 1.80 36 1.41 1.52 1.35 1.59 1.29 1.65 1.24 1.73 1.18 1.80 37 1.42 1.53 1.36 1.59 1.31 1.66 1.25 1.72 1.19 1.80 38 1.43 1.54 1.37 1.59 1.32 1.66 1.26 1.72 1.21 1.79 39 1.43 1.54 1.38 1.60 1.33 1.66 1.27 1.72 1.22 1.79 40 1.44 1.54 1.39 1.60 1.34 1.66 1.29 1.72 1.23 1.79 45 1.48 1.57 1.43 1.62 1.38 1.67 1.34 1.72 1.29 1.78 50 1.50 1.59 1.46 1.63 1.42 1.67 1.38 1.72 1.34 1.77 55 1.53 1.60 1.49 1.64 1.45 1.68 1.41 1.72 1.38 1.77 60 1.55 1.62 1.51 1.65 1.48 1.69 1.44 1.73 1.41 1.77 65 1.57 1.63 1.54 1.66 1.50 1.70 1.47 1.73 1.44 1.77 70 1.58 1.64 1.55 1.67 1.52 1.70 1.49 1.74 1.46 1.77 75 1.60 1.65 1.57 1.68 1.54 1.71 1.51 1.74 1.49 1.77 1.77 80 1.61 1.66 1.59 1.69 1.56 1.72 1.53 1.74 1.51 85 1.62 1.67 1.60 1.70 1.57 1.72 1.55 1.75 1.52 1.77 90 1.63 1.68 1.61 1.70 1.59 1.73 1.57 1.75 1.54 1.78 95 1.64 1.69 1.62 1.71 1.60 1.73 1.58 1.75 1.56 1.78 100 1.65 1.69 1.63 1.72 1.61 1.74 1.59 1.76 1.57 1.78 Note: K = the number of slope parameters in the model Source: From J Durbin and G S Watson, “Testing for Serial Correlation in Least Squares Regression, II.” Biometrika 38 (1951): 159–178