Regression with Time-Series Data: Nonstationary Variables
Multiple Choice
1. How do you find the first difference in yt?
a.) yt- yt-1
b.) dy/ dt
c.) yt -
d.) (yt )2
Ans: a
Level: Easy
2. Which of the following is not a necessary condition for a variable t
Solution to CA 2
1. Increase in the mortgage interest rate increase the cost of owning a house a lower the demand for houses. In this question we consider an
equation where the monthly change in the number of new one-family houses sold in the U.S. depends
23062/27099
Solution to Guided Study 3 [Examples Class 3]
1. Consider a multiple linear regression model with three explanatory variables, which can be written in
population as:
y 1 2 x2 3 x3 4 x4 u
(1)
where s are parameters and u is the random error ter
Solution to Example class 02
Simple Linear Regression
Consider a linear regression model with one explanatory variable, x,
yi 1 2 xi ei , where s
are parameters and e is the random error term ~ (0,2). Let y be the sample mean of y, and
y be the fitted val
Guided Study Spring 3
Stationary TS Data
1. The following least squares residuals come from a sample of size T=10:
T
1
2
3
4
5
6
7
8
9
e t
0.28
-0.31 -0.09 0.03
-0.37 -0.17 -0.39 -0.03 0.03
(a) Use a hand calculator to compute the sample autocorrelations
23062 27099 Statistical method in economics and finance (2016)
Solutions Guided study (examples class) 4
Section I: True (T) or False (F)
No.
Questions
1
Perfect collinearity will lead to the least squares estimates being
invalid.
ANSWER: T
2
Two types of
Statistical Methods in Finance and Economics
Solutions to Test 2
1. From the data of the U.K. private sector housing starts (X) for the period 1948 to 1984, Terence Mills obtained the
following regression results:
X t 31.03 0.188 X t 1
se = (12.50) (0.08)
Solution to the Guided Study Examples Class 1 Autumn 2016
THE NEXT THIRTEEN QUESTIONS ARE BASED ON THE FOLLOWING INFORMATION:
Suppose that you are interested in the relationship between the return rate on a stock in 2005, compared to
the return rate in 20
Guided Study Spring 2
Autocorrelation
1. Consider the following distributed lag model relating the percentage growth in private investment
(INVGWTH) to the federal funds rate of interest (FFRATE):
INVGWTHt 4 - 0.4FFRATE t - 0.8FFRATE t -1 - 0.6FFRATE t -2
23062 27099 Statistical methods in economics an finance
Guided Study 5
1. When using N=40 observations to estimate the model y =1 +2 x+3 z +e and you obtain
SSE=979.830 which is the usual sum of squared residuals or errors, and
sy
( y y)
i
N 1
2
13.4522
LATIHAN UP SDA
Diberikan sebuah string yang berisi kata-kata yang dipisahkan oleh sebuah spasi.
String hanya berisi huruf kecil. Implementasikan method wordCount yang
menghitung banyaknya kemunculan masing-masing kata. Setiap baris pada String
yang dikemb
3NM/3NM4: Numerical Methods II
Additional Exercises I
Polynomial interpolation
I. Find the polynomials of least degree that interpolate the following sets of
data:
i)
x
f (x)
3
5
7
-1
ii)
x
f (x)
3
7
10 146
1
2
2
1
iii)
x
f (x)
3
7
12 146
1
2
2
1
II. Let
Random walk model of asset prices
The model we will use in this course is given by the following stochastic
dierential equation
= ( + ) .
(1)
Here is the change in the asset price (i.e. share price) in a small time step
. Also, is the current asset price
3.2
Higher Order Partial Derivatives
If f is a function of several variables, then we can find higher order partials
in the following manner.
and f
are
Definition. If f (x, y) is a function of two variables, then f
x
y
also functions of two variables and
Revision of Lecture 5
Random walk model of asset prices
S(t + dt) = S(t) + dS
dS = S (dX + dt)
1. S = S(t) is the asset price at time t;
2. dS is the change in the asset price (i.e. share price) in a
small time step dt;
3. is a measure of the average rate
Mathematical Finance (20443) / Introduction to Quantitative Finance (23063)
Practice Sheet
These exercises are designed to help you understand the material and will not be
assessed. Read carefully through the example below and then try to answer further
q
Mathematical Finance (20443) / Introduction to Quantitative Finance (23063)
Guided study: class 1
Solutions
Q1:
(a) Let I(t) be the amount of money in the bank at time t. Then
dI = I(t)r dt,
and so we have
dI
= I(t)r.
dt
(b) We do this by separation of va
Explicit finite difference method: algorithm
(1) Set up numerical grid with xi = ix for N i N + and
j = j for 0 j jmax where jmax = max / .
(2) Apply the initial conditions ui,0 = u0 (xi ) for all
N i N +
(3) For all 1 j jmax do
(3a) Apply boundary condit
Birmingham Business School
Elective Choices 2016/17
In this document you will find a list and brief description of the MBA electives
available this year, together with a timetable.
Please note:
The timetable may prevent you from taking certain combinatio
Risk Management Slagelse
Industrial Services Case
Template
1
1 - What operational risks did SIS face
when deciding to become a strategic
supplier for Alden Toys?
2 - What control problems did they
encounter in implementing this
strategy (pre and post inve
Sony Corporation
2004 market position of Sony
Page 7
Global TV market share
(Shamini)History of television
manufacturing
1960s- Manufactured first small portable TV
1968s- Trinitron Colur TV system-Dominate the market
1968-1998- Dominate the TV marke
Process Design- Africa
Action Response Case
Templates
1
Africa Action Response: Case Analysis
1. Identify what performance objectives should the ARCPU be trying to
achieve?
2. What is wrong with the current ARAPU process?
To answer this question:
a) map t
Process Design- Africa
Action Response Case
Group 1
1
Africa Action Response: Case Analysis
1. Identify what performance objectives should the ARCPU be trying to
achieve?
2. What is wrong with the current ARAPU process?
To answer this question:
a) map the
PRIVATE & CONFIDENTIAL
Gustavo Cardoso
135 Quinton Road
Birmingham
B17 0PY
1 October 2016
Confirmation of your Direct Debit Instruction
Thank you for providing your bank details so that a Direct Debit payment plan can be arranged to pay
tuition fees.
Havi
BizRate.Com
GROUP 1
What business are we in?
Internet
commerce business
Research
Categorized information and rating about vender
Selling of detailed research forms to online vendors (merchant
sites)
E-commerce
Entermediary Guide:
commissions for sending
School Room
Strengths
Part of the National Association of Farms for Schools
Potential to become one of the top school attractions in the region
Experience in farming tradition education
Existing staff with high skills of communication with children
Existi
Increase in operational costs
Quality
Complaints about delays (taking longer to get the money to where its needed) - Reduce delays
- Complaints for the lack of information on the status of application (disorganization/lack of accurate
information), resul
STATISTICS II MSM2O2/ MSM3S02
PART 1
Page |1
0. Introduction
We start by introducing some basic concepts and providing some useful definitions. This part will not be
covered in the class. You may be familiar with this material already if you have studied