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
prove standard deviation of natural natural numbers

Agreement The degree to which different observers, raters or diagnostic the tests agree on the binary classification. Measures of agreement like that of the kappa coefficient qu

Charts when the Mean and the Standard Deviation are not known We consider the data corresponding to the example of Piston India Limited. Since we do not know population mean a

Coefficient of Variation The standard deviation discussed above is an absolute measure of dispersion. The corresponding relative measure is known as the coefficient of vari

Solve the following Linear Programming Problem using Simple method. Maximize Z= 3x1 + 2X2 Subject to the constraints: X1+ X2 = 4 X1 - X2 = 2 X1, X2 = 0

Two students are sitting in a lecture and considering whether to ask a question from the professor (both of them are considering the same question). If they both ask, the questi

Cluster Sampling Here the population is divided into clusters or groups and then Random Sampling is done for each cluster. Cluster Sampling differs from Stratified Sampl

prepare a critical analysis of a quantitative study focusing on protection of human participants data collection data management and analysis problem statement and interpretation o

what do we mean by critical region

If the data set contains an odd number of items, the middle item of the array is the median. If there is an even number of items, the median is the average of the two items. If the