Portfolio Stock Portfolio Quarter rate (%) rate (%) Quarter rate (%) Stock rate (%) 1 -2.0 2.7 11 12.3 6.8 2 0.5 3.9 12 16.1 13.0 3 1.3 4.5 13 13.2 11.9 156M 4 5.7 6.0 14 8.8 8.6 10.4 8.7 15 7.9 6.1 3.4 2.7 16 1.1 6.1 7 7.6 3.2 17 3.0 1.0 8 4.1 5.6 18 4.5 7.2 9 5.0 9.2 19 2.7 2.7 10 8.5 11.7 20 7.6 7.6 (a). Let x be the portfolio rate and Y be the stock rate. Examine the plot of the data. Does a simple linear regression model, Y₁ = ẞo + ẞ₁xi + €i, i = 1, . ., 20, seem appropriate? Explain. (b). By hand calculation, fit the simple linear regression model and calculate Bo and B₁. (c). Compute the 20 residuals. hence, calculate SS(Res) and estimate σ². (d). Compute the standard errors of ßo and B₁. (e). Test Ho Bo = 0 and Ha ẞo 0 with the significant level a = = 1%. (f). Produce a 90% confidence interval for ẞ₁.
Portfolio Stock Portfolio Quarter rate (%) rate (%) Quarter rate (%) Stock rate (%) 1 -2.0 2.7 11 12.3 6.8 2 0.5 3.9 12 16.1 13.0 3 1.3 4.5 13 13.2 11.9 156M 4 5.7 6.0 14 8.8 8.6 10.4 8.7 15 7.9 6.1 3.4 2.7 16 1.1 6.1 7 7.6 3.2 17 3.0 1.0 8 4.1 5.6 18 4.5 7.2 9 5.0 9.2 19 2.7 2.7 10 8.5 11.7 20 7.6 7.6 (a). Let x be the portfolio rate and Y be the stock rate. Examine the plot of the data. Does a simple linear regression model, Y₁ = ẞo + ẞ₁xi + €i, i = 1, . ., 20, seem appropriate? Explain. (b). By hand calculation, fit the simple linear regression model and calculate Bo and B₁. (c). Compute the 20 residuals. hence, calculate SS(Res) and estimate σ². (d). Compute the standard errors of ßo and B₁. (e). Test Ho Bo = 0 and Ha ẞo 0 with the significant level a = = 1%. (f). Produce a 90% confidence interval for ẞ₁.
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
Refer to the picture for the question and show alll work in full detail
Transcribed Image Text:Portfolio
Stock
Portfolio
Quarter rate (%) rate (%) Quarter rate (%)
Stock
rate (%)
1
-2.0
2.7
11
12.3
6.8
2
0.5
3.9
12
16.1
13.0
3
1.3
4.5
13
13.2
11.9
156M
4
5.7
6.0
14
8.8
8.6
10.4
8.7
15
7.9
6.1
3.4
2.7
16
1.1
6.1
7
7.6
3.2
17
3.0
1.0
8
4.1
5.6
18
4.5
7.2
9
5.0
9.2
19
2.7
2.7
10
8.5
11.7
20
7.6
7.6
(a). Let x be the portfolio rate and Y be the stock rate. Examine the plot of the data. Does
a simple linear regression model, Y₁ = ẞo + ẞ₁xi + €i, i = 1, . ., 20, seem appropriate?
Explain.
(b). By hand calculation, fit the simple linear regression model and calculate Bo and B₁.
(c). Compute the 20 residuals. hence, calculate SS(Res) and estimate σ².
(d). Compute the standard errors of ßo and B₁.
(e). Test Ho Bo = 0 and Ha ẞo 0 with the significant level a =
= 1%.
(f). Produce a 90% confidence interval for ẞ₁.
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