Problem bank
Problem 232 of 333MediumStatisticsP232
Individually insignificant, jointly significant
You regress daily returns on two signals whose sample correlation is 0.95. The -statistics on the two coefficients are 1.1 and 0.9, but the -test that both coefficients are zero has a p-value below 0.0001. What is going on, which quantity can you estimate reliably, and what would you report?
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