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HW Solutions Stat 34

HW Solutions Stat 34 - Chapter 12 AUTOCORRELATION IN TIME...

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Chapter 12 AUTOCORRELATION IN TIME SERIES DATA 12.6. H 0 : ρ =0 , H a : ρ> 0. D =2 . 4015, d L =1 . 29, d U =1 . 38. If D> 1 . 38 conclude H 0 ,i f D< 1 . 29 conclude H a , otherwise the test is inconclusive. Conclude H 0 . 12.9. a. ˆ Y = 7 . 7385 + 53 . 9533 X , s { b 0 } =7 . 1746, s { b 1 } =3 . 5197 t : 1 2 345 6 7 8 e t : . 0737 . 0709 . 5240 . 5835 . 2612 . 5714 1 . 9127 . 8276 t : 9 10 11 12 13 14 15 16 e t : . 6714 . 9352 1 . 803 . 4947 . 9435 . 3156 . 6714 1 . 0611 c. H 0 : ρ =0 , H a : ρ> 0. D = . 857, d L =1 . 10, d U =1 . 37. If D> 1 . 37 conclude H 0 , if D< 1 . 10 conclude H a , otherwise the test is inconclusive. Conclude H a . 12.10. a. r = . 5784, 2(1 . 5784) = . 8432, D = . 857 b. b 0 0 = . 69434, b 0 1 =50 . 93322 ˆ Y 0 = . 69434 + 50 . 93322 X 0 s { b 0 0 } =3 . 75590, s { b 0 1 } =4 . 34890 c. H 0 : ρ =0 , H a : ρ> 0. D =1 . 476, d L =1 . 08, d U =1 . 36. If D> 1 . 36 conclude H 0 ,i f D< 1 . 08 conclude H a , otherwise the test is inconclusive. Conclude H 0 . d. ˆ Y = 1 . 64692 + 50 . 93322 X s { b 0 }
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