a425_jfe - JFE Submission Data APS 425 Advanced Managerial...

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JFE Submission Data APS 425 - Advanced Managerial Data Analysis (c) Prof. G. William Schwert, 2002-2010 1 APS 425 – JFE Submissions Winter 2010 JFE Submissions Data Instructor: G. William Schwert 585-275-2470 [email protected] Submissions to the JFE (A425_JFE.WF1) SUBMIT Questions: (1) Seasonality? (2) Deterministic or stochastic trend? (3) Heteroskedasticity? 40 50 60 70 80 90 0 10 20 30 75 85 95 00 05
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JFE Submission Data APS 425 - Advanced Managerial Data Analysis (c) Prof. G. William Schwert, 2002-2010 2 Autocorrelations of Submissions Autocorrelations of levels decay very slowly, autos of differences cut off after lag 1 (overdifferencing? (overdifferencing?) Time Trend Model for Submissions Submissions grow by about 1.7 per year (.14 x 12)
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JFE Submission Data APS 425 - Advanced Managerial Data Analysis (c) Prof. G. William Schwert, 2002-2010 3 Residual Autocorrelations for Time Trend Model The residuals are still highly autocorrelated Both autos and partials seem to decay (as opposed to cutting decay (as opposed to cutting off) => Try an ARMA(1,1) model? ARMA(1,1) Version of Trend Model ARMA(1,1) model improves the fit a lot, but AR coefficient is very close to 1
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JFE Submission Data APS 425 - Advanced Managerial Data Analysis (c) Prof. G. William Schwert, 2002-2010 4 Residual Plot for ARMA(1,1) Version of Trend Model 100 It looks like the variability of the series is increasing over time (as the number of submissions increases 20 40 60 0 20 40 60 80 increases) => Try logs -40 -20 0
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This note was uploaded on 03/03/2010 for the course APS 425 taught by Professor Schwert during the Spring '10 term at Rochester.

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a425_jfe - JFE Submission Data APS 425 Advanced Managerial...

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