Statistics Exam with Minitab

# Statistics Exam with Minitab - GSB 420(Summer II 2014 EXAM...

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GSB 420 (Summer II, 2014) EXAM V Take Homework (25%) Dr. Jin Man Lee ALL ANSWERS MUST BE TYPED or COPY AND PASTE FROM MAPLE and MINITAB Submit to D2L Dropbox before November 17 (Thursday) 10 PM. Grades are based on accuracy of estimation and explanation to show your understanding of the statistics. Not enough explanation of numbers will not get full credit even though the estimations are accurate. I. Dow Jones Index monthly return with the Effective Fed Fund Rate (short term interest rate) 1. Let consider you are the chairman of the Federal Reserve Bank, and try to stabilize the stock market. One of the Fed’s monetary policies is to influence the interest rate by changing the Fed Fund Rate, and the interest rate change will impact the financial market especially stock market. Let’s consider following model: Linear Model t t i DJIA a b FFR e Where DJIA = the monthly return of stock market (%), FFR = the monthly changes of the Fed Fund Rate (%). We collected the data since January of 1960 to January of 2010. (1 point each) 1) Estimate the model and copy and paste the results and explain the meanings of the estimated coefficients. 2) Find TSS, RSS, ESS and R square, and carefully explain their meanings. 3) Using t test, prove/disprove if the estimated coefficient b is significant 2. Nonlinear Polynomial Model (1 point each) 2 3 1 2 3 t t t t t DJIA a b FFR b FFR b FFR e 1) Estimate the model and copy and paste the results and perform the F test. 2) Let’s compare the two models, the Linear vs. Nonlinear models. In terms of goodness to fit, which one fits better? Carefully explain. 3) What is the monthly change of the Fed fund rate to give maximum boost the stock market? Show your work assuming maximum interest FED can change is from -8% to 8%. 4) On the other side, FED finds the stock market is too high, to cool down the financial market what is the best monthly changes of the Fed fund rate to have maximum impacts to the stock market? Show your work assuming maximum interest rate FED can change is from -8% to 8%.

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II. Single Family House Sales in Chicago We obtain a house sale data from the local Multiple Listing Service (MLS) who provides the up-to-date real estate market. For the data we have the listed properties in 2010. Following are the variable BEDROOM : Number of Bedroom BATHROOM : Number of Bathroom SQFT : Square Feet of Living Area GARAGE : Number of Cars in Garage AGEBLD : Age of Building FIREPLACE : Number of Fireplace ZIP : Zip Code PRICE : Listing Price I assigned each student two zip codes. Download FinalExam_Data.xlsx file from D2L, and find the ZIP codes assigned to your student id. All regression and analysis should be done separately by zip code. 1. Find the descriptive statistics of Listing Price (PRICE) for two zip codes separately, and compare their central tendency, and variance using the following hypothesis tests: (1 points each) 1) 0 1 2 : H vs 0 1 2 : H 2) 2 2 2 1 0 : H vs 2 2 2 1 1 : H 2. Simple Regression Model (Estimate separate model for each zip code)
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