Reference no: EM131093801
Refer to McGill Company sales Problem 12.17 is Assume that regression model (12.1) is applicable and that the Cochrane-Orcutt procedure is to be employed.
a. Obtain a point estimate of the autocorrelation parameter. How well does the approximate relationship (12.25) hold here between the point estimate and the Durbin-Watson lest' statistic?
b. Use one iteration to obtain the estimates 
and 
of the regression coefficients 
and 
in transformed model (12.17) and state the estimated regression function. Also obtain
c. Test whether any positive autocorrelation remains after the first iteration: use α = .01.' State the alternatives decision rule, and conclusion.
d. Restate the estimated regression function obtained in pan (b) in terms of the original variables. Also obtain s{bo} and s{b1}. Compare the estimated regression coefficients: obtained with the Cochrane-Orcutt procedure and their estimated standard deviations with those obtained with ordinary least squares in Problem 12.17b.
e. On the basis of the results in parts (c) and (d), does the Cochrane-Orcutt procedure appear to have been effective here'?
f. Industry sales for quarter 2 I are expected to be $181.0 million. Predict the McGill Company sales for quarter 21. using a 90 percent prediction interval. Interpret your interval.
g. Estimate ß1 with a 90 percent confidence interval. Interpret your interval.
Problem 12.17
McGill Company sales. The data below show seasonally adjusted quarterly sales for the McGill Company (Y, in million dollars) and for the entire industry (X, in million dollars) for the most recent 20 quarters
a. Would you expect the autocorrelation parameter p to be positive. negative or zero here?
b. Fit a simple linear regression model by ordinary least squares and obtain the residuals. Also obtain 
d. Conduct a formal test for positive autocorrelation using α = .01. State the alternative decision rule. and conclusion. Is the residual analysis in part (c) in accord with the test result?
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