Exercise 16.24 Algo (Autocorrelation and the Durbin-Watson Test) The following data show the daily closing prices (in dollars per share) for a stock. Date Price ($) Nov. 3 83.82 Nov. 4 83.53 Nov. 7 83.90 Nov. 8 82.00 Nov. 9 82.42 Nov. 10 82.76 Nov. 11 84.13 Nov. 14 84.43 Nov. 15 85.26 Nov. 16 86.09 Nov. 17 86.62 Nov. 18 87.25 Nov. 21 87.15 Nov. 22 87.80 Nov. 23 88.52 Nov. 25 89.56 Nov. 28 88.30 Nov. 29 88.12 Nov. 30 89.20 Dec. 1 89.48 a. Define the independent variable Period, where Period = 1 corresponds to the data for November 3 , Period 2 corresponds to the data for November 4, and so on. Develop the estimated regression equation that can be used to predict the closing price given the value of Period (to 3 decimals). Price-hat = ______________ + _______________Period b. At the 0.05 level of significance, test for any positive autocorrelation in the data. What is the value of the Durbin-Watson statistic (to 3 decimals)? _________________ With critical values for the Durbin-Watson test for autocorrelation dL = 1.2 and dU = 1.41, what is your conclusion?
Exercise 16.24 Algo (Autocorrelation and the Durbin-Watson Test)
The following data show the daily closing prices (in dollars per share) for a stock.
Date Price ($)
Nov. 3 83.82
Nov. 4 83.53
Nov. 7 83.90
Nov. 8 82.00
Nov. 9 82.42
Nov. 10 82.76
Nov. 11 84.13
Nov. 14 84.43
Nov. 15 85.26
Nov. 16 86.09
Nov. 17 86.62
Nov. 18 87.25
Nov. 21 87.15
Nov. 22 87.80
Nov. 23 88.52
Nov. 25 89.56
Nov. 28 88.30
Nov. 29 88.12
Nov. 30 89.20
Dec. 1 89.48
a. Define the independent variable Period, where Period = 1 corresponds to the data for November 3 , Period 2 corresponds to the data for November 4, and so on. Develop the estimated regression equation that can be used to predict the closing price given the value of Period (to 3 decimals).
Price-hat = ______________ + _______________Period
b. At the 0.05 level of significance, test for any positive autocorrelation in the data.
What is the value of the Durbin-Watson statistic (to 3 decimals)? _________________
With critical values for the Durbin-Watson test for autocorrelation dL = 1.2 and dU = 1.41, what is your conclusion?
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