All Related Questions of Autocorrelation

Q: Consider the data in Exercise 10 from Chapter 14 and the regression

Consider the data in Exercise 10 from Chapter 14 and the regression equation to predict commissions earned. In Exercise 10 from Chapter 14 Cincinnati Paint Company sells quality brands of paints thro...

Q: Use the variables mean amount per transaction and number of associates to

Use the variables mean amount per transaction and number of associates to forecast net sales. Are these two independent variables reasonable predictors of net sales? What is the R2 value? Is it large?...

Q: Suppose an appliance manufacturer is doing a regression analysis, using quarterly

Suppose an appliance manufacturer is doing a regression analysis, using quarterly time-series data, of the factors affecting its sales of appliances. A regression equation was estimated between applia...

Q: Use the data in MINWAGE for this exercise, focusing on the

Use the data in MINWAGE for this exercise, focusing on the wage and employment series for sector 232 (Men’s and Boys’ Furnishings). The variable gwage232 is the mon...

Q: Use the data in HSEINV for this exercise. (i

Use the data in HSEINV for this exercise. (i) Find the first order autocorrelation in log(invpc). Now, find the autocorrelation after linearly detrending log(invpc). Do the same for log(price). Which...

Q: Use the data in TRAFFIC2 for this exercise. (i

Use the data in TRAFFIC2 for this exercise. (i) Compute the first order autocorrelation coefficient for the variable prcfat. Are you concerned that prcfat contains a unit root? Do the same for the un...

Q: Use all the data in PHILLIPS to answer this question. You

Use all the data in PHILLIPS to answer this question. You should now use 56 years of data. (i) Reestimate equation (11.19) and report the results in the usual form. Do the intercept and slope estimate...

Q: Is an autocorrelation test appropriate for your data? If so,

Is an autocorrelation test appropriate for your data? If so, perform an eyeball inspection of residual plot against observation order or a runs test. Midterm and Final Exam Scores for Business Stati...

Q: Below are results of a regression of Y = average stock returns

Below are results of a regression of Y = average stock returns (in percent) as a function of X = average price/earnings ratios for the period 1949–1997 (49 years). Separate regressio...

Q: If you are using time-series data, perform one or

If you are using time-series data, perform one or more tests for autocorrelation (visual inspection of residuals plotted against observation order, runs test, Durbin-Watson test). Is autocorrelation a...

Q: Suppose that daily changes for a portfolio have first-order autocorrelation

Suppose that daily changes for a portfolio have first-order autocorrelation with autocorrelation parameter 0.12. The 10-day VaR, calculated by multiplying the one-day VaR by, is $2 million. What is a...

Q: An artificial example of a stochastic process is a deterministic signal x

An artificial example of a stochastic process is a deterministic signal x(t)=g(t). Determine the mean, variance, and autocorrelation of x(t).

Q: Perform the Durbin-Watson test at the 5% significance level

Perform the Durbin-Watson test at the 5% significance level to determine whether positive first-order autocorrelation exists when d = 1.10, n = 25, and k = 3.

Q: Determine whether negative first-order autocorrelation exists when d = 2

Determine whether negative first-order autocorrelation exists when d = 2.85, n = 50, and k = 5. (Use a 1% significance level.)

Q: Given the following information, perform the Durbin-Watson test to

Given the following information, perform the Durbin-Watson test to determine whether first order autocorrelation exists: n = 25, k = 5,= .10, d = .90

Q: Observations of variables y, x1, and x2 were taken over

Observations of variables y, x1, and x2 were taken over 100 consecutive time periods. a. Conduct a regression analysis of these data. b. Plot the residuals versus the time periods. Describe the graph....

Q: Weekly sales of a company’s product (y) and those of

Weekly sales of a company’s product (y) and those of its main competitor (x) were recorded for one year. a. Conduct a regression analysis of these data. b. Plot the residuals versus the time periods....

Q: The residuals for 10 consecutive time periods are as follows:

The residuals for 10 consecutive time periods are as follows: a. Plot the residuals over time. What conclusion can you reach about the pattern of the residuals over time? b. Based on (a), what concl...

Q: The residuals for 15 consecutive time periods are as follows:

The residuals for 15 consecutive time periods are as follows: a. Plot the residuals over time. What conclusion can you reach about the pattern of the residuals over time? b. Compute the Durbin-Watso...

Q: A mail-order catalog business that sells personal computer supplies,

A mail-order catalog business that sells personal computer supplies, software, and hardware maintains a centralized warehouse for the distribution of products ordered. Management is currently examinin...

Q: The owners of a chain of ice cream stores have the business

The owners of a chain of ice cream stores have the business objective of improving the forecast of daily sales so that staffing shortages can be minimized during the summer season. As a starting point...

Q: The following data show the daily closing prices (in dollars per

The following data show the daily closing prices (in dollars per share) for a stock. Date ……………………… Price ($) Nov. 3 ……………………….. 82.87 Nov. 4 ………………………. 83.00 Nov. 7 ……………………….. 83.61 Nov. 8 ……………………...

Q: Refer to the Cravens data set in Table 16.5.

Refer to the Cravens data set in Table 16.5. In Section 16.3 we showed that the estimated regression equation involving Accounts, AdvExp, Poten, and Share had an adjusted coefficient of determination...

Q: Refer to the data in exercise 31. Consider a model in

Refer to the data in exercise 31. Consider a model in which only Industry is used to predict Delay. At a .01 level of significance, test for any positive autocorrelation in the data. Exercise 31: In...

Q: Refer to the data in exercise 31. a. Develop

Refer to the data in exercise 31. a. Develop an estimated regression equation that can be used to predict Delay by using Industry and Quality. b. Plot the residuals obtained from the estimated regres...

Q: The U.S. Department of Labor publishes consumer price indexes

The U.S. Department of Labor publishes consumer price indexes (CPIs) on many commodities. Following are the percentage changes in the CPIs for food and for shelter for the years 2001 through 2018. Use...

Q: The Federal Deposit Insurance Corporation (FDIC) releases data on bank

The Federal Deposit Insurance Corporation (FDIC) releases data on bank failures. Following are data on the number of U.S. bank failures in a given year and the total amount of bank deposits (in $ mill...

Q: Use the data in Problem 15.17 to compute a regression

Use the data in Problem 15.17 to compute a regression model after recoding the data by the first-differences approach. Compute a Durbin-Watson statistic to determine whether significant autocorrelatio...

Q: Given below are data on the number of business establishments (millions

Given below are data on the number of business establishments (millions) and the self-employment rate (%) released by the Small Business Administration, Office of Advocacy, for a 21-year period of U.S...

Q: Shown here are data from the Investment Company Institute on Total Net

Shown here are data from the Investment Company Institute on Total Net Assets and Total Number of Shareholder Accounts of money market funds over a period of 28 years. Use these data to develop a regr...

Q: Shown below is the Excel output for a regression analysis to predict

Shown below is the Excel output for a regression analysis to predict the number of business bankruptcy filings over a 16-year period by the number of consumer bankruptcy filings. How strong is the mod...

Q: Consider the data below: Month _________ Volume Jan.

Consider the data below: Month _________ Volume Jan. …………………...

Q: What is the relationship between the price of crude oil and the

What is the relationship between the price of crude oil and the price you pay at the pump for gasoline? The file Oil & Gasoline contains the price ($) for a barrel of crude oil (Cushing, Oklahoma, spo...

Q: A mail-order catalog business that sells personal computer supplies,

A mail-order catalog business that sells personal computer supplies, software, and hardware maintains a centralized ware house for the distribution of products ordered. Management is currently examini...

Q: A freshly brewed shot of espresso has three distinct components: the

A freshly brewed shot of espresso has three distinct components: the heart, body, and crema. The separation of these three components typically lasts only 10 to 20 seconds. To use the espresso shot in...

Q: Does first differencing reduce autocorrelation? Consider the models /

Does first differencing reduce autocorrelation? Consider the models where / Compare the autocorrelation of t in the original model with that of vt in / where

Q: It is commonly asserted that the Durbin–Watson statistic is only

It is commonly asserted that the Durbin–Watson statistic is only appropriate for testing for first-order autoregressive disturbances. The Durbin–Watson statistic estimates 2(1 - ) where r is the firs...

Q: The data used to fit the expectations augmented Phillips curve in Example

The data used to fit the expectations augmented Phillips curve in Example 20.3 are given in Appendix Table F5.2. Using these data, reestimate the model given in the example. Carry out a formal test fo...