TABLE 16-4 Given below are EXCEL outputs for various estimated autoregressive models for Coca-Cola's real operating revenues (in billions of dollars) from 1975 to 1998. From the data, we also know that the real operating revenues for 1996, 1997, and 1998 are 11.7909, 11.7757 and, 11.5537, respectively. AR(1) Model:
Coefficients | Standard Error | t Stat | P-value | |
Intercept | 0.1802077 | 0.39797154 | 0.452815546 | 0.655325119 |
XLag1 | 1.011222533 | 0.049685158 | 20.35260757 | 0.643735615 |
AR(2) Model:
Coefficients | Standard Error | t Stat | P-value | |
Intercept | 0.30047473 | 0.4407641 | 0.681713257 | 0.503646149 |
X Lag 1 | 1.17322186 | 0.234737881 | 4.998008229 | 7.98541E-05 |
X Lag 2 | -0.183028189 | 0.030716669 | -0.730020026 | 0.034283347 |
AR(3) Model:
Coefficients | Standard Error | t Stat | P-value | |
Intercept | 0.313043288 | 0.514437257 | 0.608515972 | 0.550890271 |
XLag1 | 1.173719587 | 0.246490594 | 4.761721601 | 0.000180926 |
XLag2 | -0.069378567 | 0.373086508 | -0.185958391 | 0.004678245 |
XLag3 | -0.122123515 | 0.282031297 | -0.433014053 | 0.30448392 |
Referring to Table 16-4 and using a 5% level of significance, what is the model that uses the most lag variables?
options:
linear |
|
AR(3) |
|
AR(1) |
|
AR(2) |
ANSWER:
In statistics and econometrics, a distributed lag model is a model for time arrangement of series of data in which a regression condition is utilized to predict current estimations of a dependent variable dependent on both the current values of a explantory variable and thelagged (past period) estimations of this explanatory variable.
AR(3) utilizes the most lag factors
REGRESSION STATISTICS Multiple R .142620229 R Square .02034053 Standard Error 20.25979924 Observations 22 Coefficients Standard Error T Stat P-Value Intercept 39.39.027309 37.24347659 1.057642216 .302826622 Attendance .340583573 .52852452 .644404489 .526635689 _______ In the table above, the proportion of the variation in "Score received on the exam" that can be explained by the variation in attendance is given by -standard error -R Square -The P-value -Intercept
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