Question

83.99 14.55 8436 85.53 Date Now Nov, a Now, 7 Now Nov.9 Nov. 10 Nov. 11 Nov. 14 Nov. 15 Nov. 16 Nov. 17 Nov. 18 Nov. 21 Nov.
a. Define the independent variable Period, where Period -1 corresponds to the data for November 3, Period - 2 corresponds to
0 0
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Answer #1
Period Price
1 82.87
2 83
3 83.61
4 83.15
5 82.84
6 83.99
7 84.55
8 84.36
9 85.53
10 86.54
11 86.89
12 87.77
13 87.29
14 87.99
15 88.8
16 88.8
17 89.11
18 89.1
19 88.9
20 89.21

a) Using Excel, go to Data, select Data Analysis, choose Regression. Put period in X input range and Price in Y input range. Tick Residuals.

SUMMARY OUTPUT
Regression Statistics
Multiple R 0.970857528
R Square 0.94256434
Adjusted R Square 0.93937347
Standard Error 0.603819028
Observations 20
ANOVA
df SS MS F Significance F
Regression 1 107.6999465 107.6999 295.3942 1.29551E-12
Residual 18 6.562753534 0.364597
Total 19 114.2627
Coefficients Standard Error t Stat P-value
Intercept 81.98942105 0.280492932 292.3048 1.51E-34
Period 0.40243609 0.023415098 17.18703 1.3E-12

Price = 81.989 + 0.402*Period

b) For December 2, Period = 21

Forecast of 2nd December = 81.989 + 0.402*21 = 90.43

c) Durbin Watson

Using Excel:

А в E F G H Observation Predicted Y R esiduals 1 82.3918571 0.478142857 2 82.7942932 0.205706767 3 83.1967293 0.413270677 4 8

Durbin Watson = SUMXMY2(F26:F44,F25:F43)/SUMSQ(F25:F44) = 0.798

dL = 1.2, dU = 1.41

H0: There is auto-correlation

H1: There is no auto-correlation

Since 0.798 falls between dL and dU, we do not reject the null hypothesis and conclude that auto-correlation is present.

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