Assignment%203%20Fall%202008

Assignment%203%20Fall%202008 - that was mentioned in class,...

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The following data are quarterly revenues for Wal-Mart Stores, Inc., in billions of Dollars (1996-2003). Year Quarter Yt t 1996 1 20.4 1 2 22.7 2 3 22.9 3 4 27.6 4 1997 1 22.8 5 2 25.6 6 3 25.6 7 4 30.9 8 1998 1 25.4 9 2 28.4 10 3 28.8 11 4 35.4 12 1999 1 29.8 13 2 33.5 14 3 33.5 15 4 40.8 16 2000 1 34.7 17 2 38.2 18 3 40.4 19 4 51.4 20 2001 1 43 21 2 46.1 22 3 45.7 23 4 56.6 24 2002 1 48.6 25 2 53.3 26 3 51.8 27 4 64.2 28 2003 1 55 29 2 59.7 30 3 58.8 31 4 71.1 32 1. Regress Yt on t and calculate the DW statistic. You should notice that the statistic is already fairly close to 2, so that there is not a lot of autocorrelation. 2. Despite the closeness of the DW statistic to 2, regress t e on 1 - t e to estimate ρ , and go through the Cochrane-Orcutt procedure. You should find that the new DW statistic is worse than the original one! Not only that, but whereas the first DW was greater than 2, the new one is less than 2.
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3. Recall a second estimate for
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Unformatted text preview: that was mentioned in class, namely 2 1 DW-= . Use this formula with the original DW statistic, and perform the Cochrane-Orcutt transformation again. This time you should find that the procedure improves the DW statistic. 4. Use the equation found in question 3 to predict the next four values of t Y ~ . 5. MINITAB gives the following PIs for t Y ~ for the next four quarters: 59.1069 76.7691 60.5979 78.3634 62.0861 79.9604 63.5716 81.5602 Use these numbers to get PIs for t Y . Of course for t = 33, 1 . 71 1 =-t Y . For t = 34, 35, 36 use the first three values you got in question 4. Do the PIs you get actually contain the real values that were observed, namely those below? 2004 1 56.7 2 62.5 3 62.5 4 74.5...
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Assignment%203%20Fall%202008 - that was mentioned in class,...

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