Applied Statistics in Business and Economics
5th Edition
ISBN: 9781259329050
Author: DOANE
Publisher: MCG
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Chapter 10, Problem 6ERQ
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Explain which statement is incorrect.
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Consider the ceocomp dataset of compensation information for the CEO’s of 100 U.S. companies. We wish to fit aregression model to assess the relationship between CEO compensation in thousands of dollars (includes salary andbonus, but not stock gains) and the following variates:AGE: The CEOs age, in yearsEDUCATN: The CEO’s education level (1 = no college degree; 2 = college/undergrad. degree; 3 = grad. degree)BACKGRD: Background type(1= banking/financial; 2 = sales/marketing; 3 = technical; 4 = legal; 5 = other)TENURE: Number of years employed by the firmEXPER: Number of years as the firm CEOSALES: Sales revenues, in millions of dollarsVAL: Market value of the CEO's stock, in natural logarithm unitsPCNTOWN: Percentage of firm's market value owned by the CEOPROF: Profits of the firm, before taxes, in millions of dollars1) Create a scatterplot matrix for this dataset. Briefly comment on the observed relationships between compensationand the other variates.Note that companies with negative…
6 (Model Selection, Estimation and Prediction of GARCH) Consider the daily returns rt
of General Electric Company stock (ticker: "GE") from "2021-01-01" to "2024-03-31",
comprising a total of 813 daily returns. Using the "fGarch" package of R, outputs of
fitting three GARCH models to the returns are given at the end of this question.
Model 1 ARCH (1) with standard normal innovations;
Model 2
Model 3
GARCH (1, 1) with Student-t innovations;
GARCH (2, 2) with Student-t innovations;
Based on the outputs, answer the following questions.
(a) What can be inferred from the Standardized Residual Tests conducted on Model 1?
(b) Which model do you recommend for prediction between Model 2 and Model 3?
Why?
(c) Write down the fitted model for the model that you recommended in Part (b).
(d) Using the model recommended in Part (b), predict the conditional volatility in the
next trading day, specifically trading day 814.
4 (MLE of ARCH) Suppose rt follows ARCH(2) with E(rt) = 0,
rt = ut, ut =
στει, σε
where {+} is a sequence of independent and identically distributed (iid) standard normal
random variables.
With observations r₁,...,, write down the log-likelihood function for the model esti-
mation.
Chapter 10 Solutions
Applied Statistics in Business and Economics
Ch. 10.2 - Do a two-sample test for equality of means...Ch. 10.2 - Repeat the previous exercise, assuming unequal...Ch. 10.2 - Is there a difference in the average number of...Ch. 10.2 - Prob. 4SECh. 10.2 - Prob. 5SECh. 10.2 - Prob. 6SECh. 10.2 - Prob. 7SECh. 10.2 - On a random basis, Bob buys a small take-out...Ch. 10.2 - For a marketing class term project, Bob is...Ch. 10.3 - A special bumper was installed on selected...
Ch. 10.3 - In trials of an experimental internet-based method...Ch. 10.3 - Construct a 95 percent confidence interval for the...Ch. 10.4 - (a) At = .05, does the following sample show that...Ch. 10.4 - An experimental surgical procedure is being...Ch. 10.4 - Blue Box is testing a new half price on Tuesday...Ch. 10.4 - The U.S. governments Cash for Clunkers program...Ch. 10.4 - Prob. 17SECh. 10.4 - Below is a random sample of shoe sizes for 12...Ch. 10.4 - A newly installed automatic gate system was being...Ch. 10.5 - Calculate the test statistic and p-value for a...Ch. 10.5 - Prob. 21SECh. 10.5 - Prob. 22SECh. 10.5 - Prob. 23SECh. 10.5 - Prob. 24SECh. 10.5 - Prob. 25SECh. 10.5 - A survey of 100 mayonnaise purchasers showed that...Ch. 10.5 - Prob. 27SECh. 10.5 - Prob. 28SECh. 10.5 - When tested for compliance with Sarbanes-Oxley...Ch. 10.5 - In 2009, a sample of 200 in-store shoppers showed...Ch. 10.5 - From a telephone log, an executive finds that 36...Ch. 10.5 - Prob. 32SECh. 10.6 - The American Bankers Association reported that, in...Ch. 10.6 - A study showed that 36 of 72 cell phone users with...Ch. 10.6 - Prob. 35SECh. 10.7 - Which samples show unequal variances? Use = .10...Ch. 10.7 - Prob. 37SECh. 10.7 - Prob. 38SECh. 10.7 - A manufacturing process drills holes in sheet...Ch. 10.7 - Examine the data below showing the weights (in...Ch. 10 - (a) Explain why two samples from the same...Ch. 10 - (a) In a two-sample test of proportions, what is a...Ch. 10 - List the three cases for a test comparing two...Ch. 10 - Consider Case 1 (known variances) in the test...Ch. 10 - Consider Case 2 (unknown but equal variances) in...Ch. 10 - Consider Case 3 (unknown and unequal variances) in...Ch. 10 - Why is it a good idea to use a computer program...Ch. 10 - (a) Explain why the paired t test for dependent...Ch. 10 - Explain how a difference in means could be...Ch. 10 - (a) Why do we use an F test? (b) When two...Ch. 10 - (a) In an F test for two variances, explain how to...Ch. 10 - Prob. 41CECh. 10 - In an early home game, an NBA team made 66 of...Ch. 10 - Prob. 43CECh. 10 - A recent study found that 202 women held board...Ch. 10 - A study of the Fortune 100 board of director...Ch. 10 - Prob. 46CECh. 10 - How many full-page advertisements are found in a...Ch. 10 - eShopNet, an online clothing retailer, is testing...Ch. 10 - After John F. Kennedy Jr. was killed in an...Ch. 10 - A ski company in Vail owns two ski shops, one on...Ch. 10 - At a University of Colorado womens home basketball...Ch. 10 - A ski resort tracks the proportion of seasonal...Ch. 10 - Does a follow-up reminder increase the renewal...Ch. 10 - A study revealed that the 30-day readmission rate...Ch. 10 - In a marketing class, 44 student members of...Ch. 10 - In San Francisco, a sample of 3,200 wireless...Ch. 10 - Prob. 57CECh. 10 - Prob. 58CECh. 10 - Prob. 59CECh. 10 - Prob. 60CECh. 10 - Prob. 61CECh. 10 - Prob. 62CECh. 10 - In a 15-day survey of air pollution in two...Ch. 10 - Prob. 64CECh. 10 - Do male and female school superintendents earn the...Ch. 10 - The average take-out order size for Ashoka Curry...Ch. 10 - Cash withdrawals from a college credit union for a...Ch. 10 - In Mini Case 10.2, we found that the mean methane...Ch. 10 - A ski company in Vail owns two ski shops, one on...Ch. 10 - A ski company in Vail owns two ski shops, one on...Ch. 10 - Emergency room arrivals in a large hospital showed...Ch. 10 - Concerned about graffiti, mayors of nine suburban...Ch. 10 - A certain company will purchase the house of any...Ch. 10 - Nine homes are chosen at random from real estate...Ch. 10 - Prob. 75CECh. 10 - Prob. 76CECh. 10 - Prob. 77CECh. 10 - Is there a difference between the variance in ages...Ch. 10 - A survey of 100 mayonnaise purchasers showed that...Ch. 10 - A 20-minute consumer survey mailed to 500 adults...Ch. 10 - One group of accounting students used simulation...Ch. 10 - Advertisers fear that users of DVRs (digital video...Ch. 10 - In preliminary tests of a vaccine that may help...Ch. 10 - Prob. 84CECh. 10 - Male and female students in a finance class were...Ch. 10 - Prob. 86CECh. 10 - A retailer compared the frequency of customer...Ch. 10 - Streeling University surveyed a random sample of...Ch. 10 - The Fischer Theatre compared attendance at its...Ch. 10 - Random samples of tires being replaced by a car...Ch. 10 - Count the number of two-door vehicles among 50...Ch. 10 - Which statement is not correct? Explain. a. The...Ch. 10 - Match each statement to the correct property of an...Ch. 10 - Concerning confidence intervals, which statement...Ch. 10 - Prob. 4ERQCh. 10 - Prob. 5ERQCh. 10 - Prob. 6ERQCh. 10 - Prob. 7ERQCh. 10 - Prob. 8ERQCh. 10 - The process that produces Sonora Bars (a type of...Ch. 10 - Prob. 10ERQCh. 10 - Prob. 11ERQCh. 10 - Last month, 85 percent of the visitors to the...Ch. 10 - Weights of 12 randomly chosen Sonora Bars (a type...Ch. 10 - In a random sample of 200 Colorado residents, 150...Ch. 10 - Five students in a large lecture class compared...Ch. 10 - Prob. 16ERQCh. 10 - Prob. 17ERQ
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