Lagrange multipliertest, Advanced Statistics

Assignment Help:

The Null Hypothesis - H0:  There is autocorrelation

The Alternative Hypothesis - H1: There is no autocorrelation

Rejection Criteria: Reject H0 (n-s)R2 >641_Partial Autocorrelation Function1.png = (1515 - 4) x (0.01) = 15.11 > 9.49 (641_Partial Autocorrelation Function1.png)

1515 cases used, 4 cases contain missing values

Since 15.11 > 9.49 the chi-squared value with 4 lags (ET-1, ET-2, ET-3, and ET-4) there is evidence to suggest that we reject H0 meaning that there is no autocorrelation.    

The regression equation is

RESI1 = - 0.0011 + 0.000005 totexp - 0.000001 income + 0.000017 age + 0.00007 nk

        + 0.0085 ET-1 + 0.0070 ET-2 - 0.0284 ET-3 - 0.0074 ET-4

Predictor         Coef     SE Coef                 T      P

Constant       -0.00105     0.01375        -0.08  0.939

totexp          0.00000471  0.00006080   0.08  0.938

income        -0.00000082  0.00004314  -0.02  0.985

age              0.0000167   0.0003090     0.05  0.957

nk                0.000071     0.004785       0.01  0.988

ET-1             0.00847       0.02580         0.33  0.743

ET-2             0.00700       0.02584         0.27  0.786

ET-3           -0.02842       0.02587        -1.10  0.272

ET-4          -0.00743       0.02592         -0.29  0.774

As the T value decreases, the P value increases which is noticeable above due to the inclusions of lags. Most of the T values are now closer to 0 which shows that there is less reliability of the coefficient.  ET-3 will be included in a further regression analysis as it is significant with a value of -1.10, conversely ET-1, ET-2, ET-4 will be removed as they are insignificant with low T values.     

S = 0.0905514   R-Sq = 0.1%   R-Sq(adj) = 0.0%

The inclusion of lags has caused the r-squared to be really low at 0.1% which certainly suggests that the model is inadequate for explaining the Y variable. It also indicates that data points are distributed away from the line of best fit and that the independent variables are poor predictors for the dependent variable. The remaining percentage (99.9%) is the variation which is unknown.

 

Analysis of Variance

 

Source               DF         SS        MS     F      P

Regression        8    0.012127  0.001516  0.18  0.993

Residual Error  1506  12.348529  0.008200

Total                1514  12.360656

Source  DF    Seq SS

totexp   1  0.000029

income  1  0.000005

age       1  0.000011

nk         1  0.000000

ET-1      1  0.000903

ET-2      1  0.000544

ET-3      1  0.009961

ET-4      1  0.000673

Since the F value is small at 0.18 and the P value is high 0.993 it reveals that there is no relationship between the Y dependent variable and X independent variables. This indicates that as it is 0.18 it does not support the model and therefore the slopes are equal to 0.


Related Discussions:- Lagrange multipliertest

Mobile Marketing statistics., 1) Has smartphones affected the consumer beh...

1) Has smartphones affected the consumer behavior? If so How ? And how is it going to change in future? 2) Forecasting of Mobile market (Time series analysis) 3) Comparison of fou

Chance events, Chance events : According to the Cicero these are events whi...

Chance events : According to the Cicero these are events which occurred or will occur in ways which are the uncertain-events which may happen, may not happen, or may happen in some

Greenhouse geissercorrection, Greenhouse geissercorrection is the method o...

Greenhouse geissercorrection is the method of adjusting the degrees of freedom of the within- subject F-tests in the analysis of the variance of longitudinal data so as to allow t

Extrapolation, This process of estimating from a data set those values lyin...

This process of estimating from a data set those values lying beyond range of the data. In the regression analysis, for instance, a value of the response variable might be estimate

Describe non linear model, Non linear model : A model which is non-linear i...

Non linear model : A model which is non-linear in the parameters, for instance are   Some such type of models can be converted into the linear models by linearization (the s

Generalized additive model, The linear component ηi, de?ned just in the tra...

The linear component ηi, de?ned just in the traditional way: η i = x' 1 A monotone differentiable link function g that describes how E(Yi) = µi is related to the linear compon

Quantitative, How has quantitative analysis changed the current scenario in...

How has quantitative analysis changed the current scenario in the management world today?

Factor scores, The values assigned to factors for the individual sample uni...

The values assigned to factors for the individual sample units in a factor analysis. The most common approach is "regression method". When the factors are seen as the random variab

Public network, This is given by common network e.g. Phone Company. The pub...

This is given by common network e.g. Phone Company. The public networks are those networks, which are given by common carriers. It can be a telephone company or an other organizati

Ehrenberg''s equation, The equation linking the height and weight of the ch...

The equation linking the height and weight of the children between the ages of 5 and 13 and given as follows   here w is the mean weight in kilograms and h the mean height in

Write Your Message!

Captcha
Free Assignment Quote

Assured A++ Grade

Get guaranteed satisfaction & time on delivery in every assignment order you paid with us! We ensure premium quality solution document along with free turntin report!

All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd