Eliminate all of the insignificant variables, Applied Statistics

The file Midterm Data.xls has a tab labeled "Many vs. S&P" which presents historical price data for several assets, a volatility condition (VIDX = 1 if the NYSE volatility is greater than 0.04), Schlumberger, Westinghouse Air Brake, Ford and Eastman Kodak. Create a multiple regression model of the S&P 500 using the other asset prices as the independent (x) variables.

Answer the following questions based on the Excel output report. Support your answers with numbers from the output report. Use level of significance = 0.05.

• Write the estimated multiple regression equation. Note: Use actual variable names and numbers. If using symbols, define them before using in the equation.

• Clearly explain the meaning of b1 (the coefficient of Schlumberger). Note: Use actual variable names and numbers in answering your question. b1 is the slope is not a sufficient answer.

• Clearly explain the meaning of b2 (the coefficient of Westinghouse Air Brake). Note: Use actual variable names and numbers in answering your question. b2 is the slope is not a sufficient answer.

• Clearly explain the meaning of b3 (the coefficient of Ford). Note: Use actual variable names and numbers in answering your question. b3 is the slope is not a sufficient answer.

• Clearly explain the meaning of b4 (the coefficient of Eastman Kodak). Note: Use actual variable names and numbers in answering your question. b4 is the slope is not a sufficient answer.

• Clearly explain the meaning of b5 (the coefficient of Volatility). Note: Use actual variable names and numbers in answering your question. b5 is the slope is not a sufficient answer.

• Is the regression equation significant? Give reasons for your answer. (Hint: The answer to this question requires test of the hypothesis: Ho: 1 = 2 = 3 = 4 = 5 = 0 vs. Ha: At least one j is not equal to zero, where j = 1...5)

• Which variables in the current equation are significant and which are not significant? Give reason for your answer. (Hint: The answer to this question requires test of hypothesis: Ho: j = 0 vs. Ha: j 0 for j = 1...5).

• Eliminate all of the insignificant variables and show the final regression equation.

• Considering the original regression equation from a), if you already have an S&P 500 fund in your portfolio, what is the best new asset to place in the portfolio? (Remember, you want your portfolio to be as diverse as possible.) Are there any possible practical limitations to using some of these stocks in a portfolio.

Posted Date: 3/16/2013 5:39:04 AM | Location : United States







Related Discussions:- Eliminate all of the insignificant variables, Assignment Help, Ask Question on Eliminate all of the insignificant variables, Get Answer, Expert's Help, Eliminate all of the insignificant variables Discussions

Write discussion on Eliminate all of the insignificant variables
Your posts are moderated
Related Questions
Ask 3. Precision Manufacturing has a government contract to produce stainless steel rods for use in military aircraft. Each rod is required to be 20 millimeters in diameter. Each

The Null Hypothesis - H0:  The random errors will be normally distributed The Alternative Hypothesis - H1:  The random errors are not normally distributed Reject H0: when P-v

Meaning and Definitions of Business Forecasting The problem of business  forecasting  refers to the  analysis  of the past and  present economic  conditions. With  the objectiv

Consider the following new business venture. An agent is considering investment in one of three real estate parcels: • Option 1: multiunit rentals • Option 2: commercial building

"MagTek" electronics has developed a smart phone that does things that no other phone yetreleased into the market-place will do. The marketing department is planning to demonstrate

Explain what central tendency and variability are. In your answer define what the mean, median, mode, variance, and standard deviation are. What is the difference between the descr

Root Mean Square Deviation The standard deviation is also called the ROOT MEAN SQUARE DEVIATION. This is because it is the ROOT (Step 4) of the MEAN (Step 3) o

Show that when h = h* for the histogram, the contribution to AMISE of the IV and ISB terms is asymptotically in the ratio 2:1. Compare the sensitivity of the AMISE(ch) in Equa

Measurement of trend , least square method

You are attempting to purchase a part from a specialty vendor. Your company requires a C p of at least 1.67 on a critical dimension of the part. The dimensional specific