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# First and second order Auto-regressive analysis

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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 &#61537; = 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 &#61537; = 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

https://brainmass.com/statistics/regression-analysis/first-and-second-order-auto-regressive-analysis-327398

#### 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 &#61537; = 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

I would like help in checking my answers against the following:

The data in DJIA.XLS (attached) represent the closing value of the Dow Jones Industrial Average (DJIA) over the 24-year period 1979 through 2002. Using EXCEL, PHStat2, or any other statistical program, answer the following:

When fitting a third-order autoregressive model to the DJIA, what is A3?

a) 1.4375
b) -0.02075
c) -0.5551

Testing for the significance of the third-order autoregressive parameter with a = 0.05, can A3 be deleted?

a) Yes
b) No
c) Inconclusive

If necessary, fitting a second-order autoregressive model to the DJIA, what is A2?

a) -0.02075
b) -0.6574
c) -0.5551

Testing for the significance of the second-order autoregressive parameter with a = 0.05, can A2 be deleted?

a) Yes
b) No
c) Inconclusive

If necessary, fitting a first-order autoregressive model to the DJIA, what is A1?

a) It is not necessary to fit this model.
b) 0.3447
c) 1.2383

Which one is the best-fit model to this data set?

a) The third-autoregressive model
b) The second-autoregressive model
c) The first-autoregressive model

If appropriate, provide the annual forecast of the DJIA for 2003.

a) 8584.8172
b) 6247.2101
c) 7007.6537

When applied an exponential trend model to this data, what is the MAD?

a) 634.39
b) 483.80
c) 1061.73

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