Explore BrainMass
Share

Explore BrainMass

    First and second order Auto-regressive analysis

    This content was COPIED from BrainMass.com - View the original, and get the already-completed solution here!

    See attached data as an excel spread sheet.

    INFORMATION 14

    The data in DJIA.XLS (CD-> browse->Excel_Data_Files) represent the closing value of the Dow Jones Industrial Average (DJIA) over the 27-year period 1979 through 2005. See Problem 16.29 (p.675). Using EXCEL or PHStat2, answer the following:

    1. When fitting a third-order autoregressive model to the DJIA, what is A3?
    a) -0.1884
    b) -0.02075
    c) -0.04354

    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. When fitting a second-order autoregressive model to the DJIA, what is A2?
    a) -0.02075
    b) -0.1413
    c) -0.6447

    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. Do you think that we need to work on a first-order autoregressive model to the DJIA??
    a) Yes, because the second order model fails.
    b) Not necessary to fit the first order because the second order fits.
    c) Inconclusive

    6. If appropriate, provide the annual forecast of the DJIA for 2006.
    a) 11,079.70
    b) 14,033.14
    c) 17,173.60

    7. When applied an exponential trend model to this data, provide the annual forecast of the DJIA for 2006.
    a) 8,161.8278
    b) 11,199.5167
    c) 16,821.32

    © BrainMass Inc. brainmass.com October 10, 2019, 1:15 am ad1c9bdddf
    https://brainmass.com/statistics/regression-analysis/first-and-second-order-auto-regressive-analysis-327398

    Attachments

    Solution Summary

    When fitting a third-order autoregressive model to the DJIA, what is A3?
    When testing for the significance of the third-order autoregressive parameter with  = 0.05, can A3 be deleted?
    When applied an exponential trend model to this data, provide the annual forecast of the DJIA for 2006?

    $2.19