• Model 1 = Y; = Bo + B1Xli+ E;; • Model 2 Y; = Bo + B2x2i + Ej • Model 3 Y; = Bo + B1xli + B2x2i + E¡ (a) What could you say about the significance of the parameters in the three models? (b) Are the data satisfying the normality assumption in each model? (c) The adjusted R² tells us which is the best model, when we have different number of exogenous variables across the models. As for the R², the model with the highest adjusted R? is the best. By using the adjusted R2, state which is the best model across Model 1, Model 2 and Model 3.
• Model 1 = Y; = Bo + B1Xli+ E;; • Model 2 Y; = Bo + B2x2i + Ej • Model 3 Y; = Bo + B1xli + B2x2i + E¡ (a) What could you say about the significance of the parameters in the three models? (b) Are the data satisfying the normality assumption in each model? (c) The adjusted R² tells us which is the best model, when we have different number of exogenous variables across the models. As for the R², the model with the highest adjusted R? is the best. By using the adjusted R2, state which is the best model across Model 1, Model 2 and Model 3.
MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
Problem 1P
Related questions
Question
Q: Consider a set of equity returns from 4 different markets across 12 different periods. Define the fourth variable as the response variable (Y) . Define the following 3 models (attached image along with questions)

Transcribed Image Text:Mkt 2
Mkt 4
Mkt_1
0.0083
Mkt_3
-0.0179 -0.0039
0.0427
-0.0012 -0.0372 0.0090
-0.0026
-0.0549 -0.0521 -0.0462 -0.0567
0.0275
-0.0626 0.0338
0.0140
-0.0568 -0.0737 -0.0521 -0.0505
-0.0370 -0.0160 -0.0234 -0.0266
0.0575
0.0508
0.0603
0.0548
0.0103
-0.0138 0.0237
0.0147
0.0069
-0.0017 0.0038
-0.0010
-0.0403 -0.0326 -0.0304 -0.025
0.0054
0.0222
0.0142
0.0137
0.0303
0.0947
0.0295
0.0299

Transcribed Image Text:• Model 1 Y; = Bo+ B1x1i + E;
• Model 2 = Y; = Bo + B2x2i + Ei
• Model 3 Y; = Bo + B1xli + B2x2i + Ej
(a) What could you say about the significance of the parameters in the three models?
(b) Are the data satisfying the normality assumption in each model?
(c) The adjusted R? tells us which is the best model, when we have different number
of exogenous variables across the models. As for the R², the model with the
highest adjusted R? is the best. By using the adjusted R2, state which is the best
model across Model 1, Model 2 and Model 3.
(d) For the best model, compute the predicted values when the new data are the X1
vector of values.
(e) Show the predicted values and the prediction interval (at 95% and at 90%) in a
plot.
(f) Are the predicted values far away from the real values of Y; for the 90% and 95%
case?
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