Eliminate all of the insignificant variables, Applied Statistics

Assignment Help:

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.


Related Discussions:- Eliminate all of the insignificant variables

Confidence interval, for this proportion, use the +-2 rule of thumb to dete...

for this proportion, use the +-2 rule of thumb to determine the 95 percent confidence interval. when asked if they are satisfied with their financial situation, .29 said "very sat

Median, introduction of median

introduction of median

Find relative maxima and minima, Q. Find relative maxima and minima? Wh...

Q. Find relative maxima and minima? When finding relative maxima and minima in the Chapters absolute extrema problem, don't forget to use the first or second derivative test to

Regression, why we use dummy variable

why we use dummy variable

Aviation legislation - SUPPLEMENTAL TYPE CERTIFICATION, JAR 21 SUPPLEMENTAL...

JAR 21 SUPPLEMENTAL TYPE CERTIFICATION JAR 21 Part E introduces the need for Supplemental Type Certification when a manufacturer wishes to make major changes to the Type Desig

Multi stage or cluster random sampling, Multi stage or Cluster Random sampl...

Multi stage or Cluster Random sampling  Under this method, the random selection is made of primary, intermediate and final units from a given population. The area of investigat

Redundancy analysis, In reduced rank regression (RRR), the dependent var...

In reduced rank regression (RRR), the dependent variables are first submitted to a PCA and the scores of the units are then used as dependent variables in a series of

Case # 2 , Case Problem: A Bipartisan Agenda for Change In a study conducte...

Case Problem: A Bipartisan Agenda for Change In a study conducted by Zogby International, more than 700 New Yorkers were polled to determine whether the New York state government w

Bernoulli trial, Statistician is searching the \home ground" effect and is ...

Statistician is searching the \home ground" effect and is studying 20 football games, of which 14 were won by the home team and 6 by the visitors. Therefore the game is a Bernoulli

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