Stats Solutions

[Solution] The next page of this exam is a printout of a TIME-SERIES Regression. Use it to determine the following: Regression data for Problem 6 A B C

Question: The next page of this exam is a printout of a TIME-SERIES Regression. Use it to determine the following:

Regression data for Problem 6

A B C D E
1 SUMMARY OUTPUT
2 Regression Statistics
3 Multiple R .7830
4 R Squared .6130
5 Adjusted R Square .5550
6 Standard Error .3900
7 Observations 50
8
9 ANOVA
10 df SS MS F
11 Regression 4 6.337 1.584 10.672
12 Residual 45 4.008 .148
13 Total 49 10.345
14
15 Coefficients Standard Error t Stat P-value
16 Intercept 20.0 3.462 2.309 0.029
17 LGDP 7.0 1.544 4.848 0.060
18 LMDEBT -2.0 2.002 -1.133 0.327
19 LCPI -2.9 0.507 -5.750 0.000
20
21
22 RESIDUAL OUTPUT
23 Observation Predicted LDJIA Residuals
24 1 xxxxxxxxxx yyyyyyyy
25 2 xxxxxxxxxx yyyyyyyy
26 3 xxxxxxxxxx yyyyyyyy
27 4 xxxxxxxxxx yyyyyyyy
28 5 xxxxxxxxxx yyyyyyyy
98 50 xxxxxxxxxx yyyyyyyy
99 Given: Durbin-Watson = 2.25
  1. Check ALL levels at which the coefficients are statistically significant.
  2. Predict the value of LDJIA when LGDP = 5, LMDEBT=10, and LCPI= 2, using information from the regression printout.
  3. Use the regression printout to determine the n =__50__ and k =__3__ arguments to enter the Durban Watson table.
    Then from the attached Durbin-Watson Table, alpha = .05 table, determine D L =_1.42_, and D U =__1.67__. Draw a bell-shaped curve and draw the cutoff points for the lower and upper tails. Label the five areas.
  4. Given that the "data" Durbin-Watson statistic is 2.25, add this value to your diagram and explicitly state what this means for the regression in terms of autocorrelation.

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