Applied Statistics and Probability for Engineers
6th Edition
ISBN: 9781118539712
Author: Douglas C. Montgomery
Publisher: WILEY
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Chapter 12.6, Problem 104E
a.
To determine
Find the F-statistic for testing the significance of the regression.
Test for the statistical significance of the regression at level of significance
b.
To determine
Calculate the estimate of
Comment on whether the reduced model is superior to the existing model.
c.
To determine
Calculate the value of
Conclude whether the reduced model is better than the existing model.
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The class will include a data exercise where students will be introduced to publicly available data sources. Students will gain experience in manipulating data from the web and applying it to understanding the economic and demographic conditions of regions in the U.S. Regions and topics of focus will be determined (by the student with instructor approval) prior to April. What data exercise can I do to fulfill this requirement? Please explain.
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.
Chapter 12 Solutions
Applied Statistics and Probability for Engineers
Ch. 12.1 - 12.1. Exercise 11.1 described a regression model...Ch. 12.1 - 12.2. A class of 63 students has two hourly exams...Ch. 12.1 - 12.3. Can the percentage of the workforce who are...Ch. 12.1 - Prob. 4ECh. 12.1 - Prob. 5ECh. 12.1 - Prob. 6ECh. 12.1 - Prob. 7ECh. 12.1 - 12-8. You have fit a multiple linear regression...Ch. 12.1 - 12-9. The data from a patient satisfaction survey...Ch. 12.1 - 12-10. The electric power consumed each month by a...
Ch. 12.1 - 12-11. Table E12-3 provides the highway gasoline...Ch. 12.1 - 12-12. The pull strength of a wire bond is an...Ch. 12.1 - Prob. 13ECh. 12.1 - Prob. 14ECh. 12.1 - 12-15. An article in Electronic Packaging and...Ch. 12.1 - 12-16. An article in Cancer Epidemiology,...Ch. 12.1 - Prob. 17ECh. 12.1 - Prob. 18ECh. 12.1 - Prob. 19ECh. 12.1 - Prob. 20ECh. 12.1 - Prob. 21ECh. 12.1 - Prob. 22ECh. 12.1 - 12-23. A study was performed on wear of a bearing...Ch. 12.1 - Prob. 24ECh. 12.2 - 12-25. Recall the regression of percent of body...Ch. 12.2 - Prob. 27ECh. 12.2 - Prob. 28ECh. 12.2 - 12-29. Consider the following computer...Ch. 12.2 - 12-30. You have fit a regression model with two...Ch. 12.2 - 12-31. Consider the regression model fit to the...Ch. 12.2 - 12-32. Consider the absorption index data in...Ch. 12.2 - Prob. 33ECh. 12.2 - Prob. 34ECh. 12.2 - 12-35. Consider the gasoline mileage data in...Ch. 12.2 - Prob. 36ECh. 12.2 - Prob. 37ECh. 12.2 - Prob. 38ECh. 12.2 - 12-39. Consider the regression model fit to the...Ch. 12.2 - Prob. 40ECh. 12.2 - Prob. 41ECh. 12.2 - Prob. 42ECh. 12.2 - 12-43. Consider the NFL data in Exercise...Ch. 12.2 - Prob. 44ECh. 12.2 - 12-45. Consider the bearing wear data in Exercise...Ch. 12.2 - 12-46. Data on National Hockey League team...Ch. 12.2 - Prob. 47ECh. 12.2 - Prob. 48ECh. 12.4 - Prob. 52ECh. 12.4 - 12-53. Consider the regression model fit to the...Ch. 12.4 - 12-55. Consider the semiconductor data in Exercise...Ch. 12.4 - 12-56. Consider the electric power consumption...Ch. 12.4 - Prob. 57ECh. 12.4 - Prob. 58ECh. 12.4 - 12-59. Consider the regression model fit to the...Ch. 12.4 - Prob. 60ECh. 12.4 - 12-61. Consider the regression model fit to the...Ch. 12.4 - Prob. 62ECh. 12.4 - Prob. 63ECh. 12.4 - Prob. 64ECh. 12.4 - Prob. 65ECh. 12.4 - Prob. 66ECh. 12.4 - Prob. 67ECh. 12.4 - 12-68. Consider the NHL data in Exercise...Ch. 12.5 - 12-69. Consider the gasoline mileage data in...Ch. 12.5 - Prob. 70ECh. 12.5 - Prob. 71ECh. 12.5 - Prob. 72ECh. 12.5 - 12-73. Consider the regression model fit to the...Ch. 12.5 - Prob. 74ECh. 12.5 - Prob. 75ECh. 12.5 - Prob. 76ECh. 12.5 - Prob. 77ECh. 12.5 - Prob. 78ECh. 12.5 - Prob. 79ECh. 12.5 - 12-80. Fit a model to the response PITCH in the...Ch. 12.5 - Prob. 81ECh. 12.6 - 12-84. An article entitled “A Method for Improving...Ch. 12.6 - Prob. 85ECh. 12.6 - Prob. 86ECh. 12.6 - Prob. 87ECh. 12.6 - 12-88. Consider the arsenic concentration data in...Ch. 12.6 - Prob. 89ECh. 12.6 - Prob. 90ECh. 12.6 - 12-91. Consider the X-ray inspection data in...Ch. 12.6 - 12-92. Consider the electric power data in...Ch. 12.6 - Prob. 93ECh. 12.6 - Prob. 94ECh. 12.6 - 12-95. Consider the gray range modulation data in...Ch. 12.6 - 12-96. Consider the nisin extraction data in...Ch. 12.6 - Prob. 97ECh. 12.6 - Prob. 98ECh. 12.6 - Prob. 99ECh. 12.6 - 12-100. Consider the arsenic data in Exercise...Ch. 12.6 - 12-101. Consider the gas mileage data in Exercise...Ch. 12.6 - Prob. 102ECh. 12.6 - Prob. 103ECh. 12.6 - Prob. 104ECh. 12.6 - Prob. 105ECh. 12 - Prob. 106SECh. 12 - 12-107. Consider the following inverse of the...Ch. 12 - 12-108. The data shown in Table E12-14 represent...Ch. 12 - Prob. 109SECh. 12 - Prob. 111SECh. 12 - Prob. 112SECh. 12 - 12-113. Consider the jet engine thrust data in...Ch. 12 - 12-114. Consider the electronic inverter data in...Ch. 12 - 12-115. A multiple regression model was used to...Ch. 12 - Prob. 116SECh. 12 - 12-117. An article in the Journal of the American...Ch. 12 - 12-118. Exercise 12-9 introduced the hospital...Ch. 12 - Prob. 119SECh. 12 - Prob. 120SECh. 12 - 12-121. A regression model is used to relate a...Ch. 12 - Prob. 122SECh. 12 - Prob. 123SECh. 12 - Prob. 124SECh. 12 - Prob. 125SE
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