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Dow Jones Industrial Average (DJIA)

The data in below represent the closing value of the Dow Jones Industrial Average (DJIA) over the 29 year period from 1979 through 2007.

Year Coded Year DJIA
1979 0 838.7
1980 1 964.0
1981 2 875.0
1982 3 1046.5
1983 4 1258.6
1984 5 1211.6
1985 6 1546.7
1986 7 1896.0
1987 8 1938.8
1988 9 2168.6
1989 10 2753.2
1990 11 2633.7
1991 12 3168.8
1992 13 3301.1
1993 14 3754.1
1994 15 3834.4
1995 16 5117.1
1996 17 6448.3
1997 18 7908.3
1998 19 9181.4
1999 20 11497.1
2000 21 10788.0
2001 22 10021.5
2002 23 8341.6
2003 24 10453.9
2004 25 10788.0
2005 26 10717.5
2006 27 12463.2
2007 28 13264.8

1. When fitting a third order autoregressive model to the DJIA, what is the parameter estimate a3 for A3?
a) 0.0863
b) 0.0076
c) 0.0017

2. When testing for the significance of the third order autoregressive parameter with ? = 0.05, can A3 be deleted?
a) Yes
b) No
c) Inconclusive

3. If necessary, when fitting a second order autoregressive model to the DJIA, what is the parameter estimate a2 for A2?
a) 0.2034
b) 0.0886
c) 0.0863

4. When testing for the significance of the second?order autoregressive parameter with ? = 0.05, can A2 be deleted?
a) Yes
b) No
c) Inconclusive

5. If necessary, when fitting a first order autoregressive model to the DJIA, what is the parameter estimate a1 for A1?
a) 1.0213
b) 1.1018
c) 1.0959

6. When testing for the significance of the first order autoregressive parameter with ? = 0.05, can A1 be deleted?
a) Yes
b) No
c) Inconclusive

7. Forecast the DJIA for 2008 using the most appropriate model considered in 1) through 6).
a) 11040.1273
b) 13856.9935
c) 13879.4358.

Solution Summary

The solution discusses the Dow Jones Industrial Average (DJIA).

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