Statistical Techniques in Business and Economics, 16th Edition
16th Edition
ISBN: 9780078020520
Author: Douglas A. Lind, William G Marchal, Samuel A. Wathen
Publisher: McGraw-Hill Education
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Chapter 9, Problem 1.5PT
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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 9 Solutions
Statistical Techniques in Business and Economics, 16th Edition
Ch. 9 - Prob. 1SRCh. 9 - Prob. 1ECh. 9 - A sample of 81 observations is taken from a normal...Ch. 9 - Prob. 3ECh. 9 - Suppose you know and you want an 85% confldence...Ch. 9 - Prob. 5ECh. 9 - Prob. 6ECh. 9 - Prob. 7ECh. 9 - Prob. 8ECh. 9 - Prob. 2SR
Ch. 9 - Prob. 9ECh. 9 - Prob. 10ECh. 9 - Prob. 11ECh. 9 - Prob. 12ECh. 9 - Prob. 13ECh. 9 - Prob. 14ECh. 9 - Prob. 3SRCh. 9 - Prob. 15ECh. 9 - Ms. Maria Wilson is considering running for mayor...Ch. 9 - Prob. 17ECh. 9 - Prob. 18ECh. 9 - Prob. 4SRCh. 9 - Prob. 19ECh. 9 - Prob. 20ECh. 9 - Prob. 21ECh. 9 - Prob. 22ECh. 9 - Prob. 23ECh. 9 - Prob. 24ECh. 9 - Prob. 25ECh. 9 - Prob. 26ECh. 9 - The same study of church contributions in Scandia...Ch. 9 - Thirty-six items are randomly selected from a...Ch. 9 - Forty-nine items are randomly selected from a...Ch. 9 - The attendance at the Savannah Colts minor league...Ch. 9 - There are 300 welders employed at Maine Shipyards...Ch. 9 - Prob. 31CECh. 9 - Prob. 32CECh. 9 - Prob. 33CECh. 9 - Prob. 34CECh. 9 - Prob. 35CECh. 9 - Prob. 36CECh. 9 - Prob. 37CECh. 9 - Prob. 38CECh. 9 - Prob. 39CECh. 9 - Prob. 40CECh. 9 - Prob. 41CECh. 9 - Prob. 42CECh. 9 - Prob. 43CECh. 9 - Prob. 44CECh. 9 - Prob. 45CECh. 9 - Prob. 46CECh. 9 - Prob. 47CECh. 9 - Prob. 48CECh. 9 - Prob. 49CECh. 9 - Prob. 50CECh. 9 - Prob. 51CECh. 9 - Prob. 52CECh. 9 - Prob. 53CECh. 9 - Prob. 54CECh. 9 - Prob. 55CECh. 9 - Prob. 56CECh. 9 - Prob. 57CECh. 9 - Prob. 58CECh. 9 - Prob. 59CECh. 9 - Prob. 60CECh. 9 - Prob. 61CECh. 9 - Prob. 62CECh. 9 - Prob. 63CECh. 9 - Prob. 64CECh. 9 - Prob. 65CECh. 9 - Prob. 66CECh. 9 - A sample of 352 subscribers to Wired magazine...Ch. 9 - Prob. 68CECh. 9 - Prob. 70DECh. 9 - Prob. 1PCh. 9 - Prob. 2PCh. 9 - Prob. 3PCh. 9 - Prob. 4PCh. 9 - Prob. 5PCh. 9 - Prob. 6PCh. 9 - Prob. 7PCh. 9 - Prob. 8PCh. 9 - Prob. 9PCh. 9 - Prob. 10PCh. 9 - Prob. 11PCh. 9 - Prob. 12PCh. 9 - Prob. 13PCh. 9 - Prob. 1CCh. 9 - Prob. 1.1PTCh. 9 - Prob. 1.2PTCh. 9 - Prob. 1.3PTCh. 9 - Prob. 1.4PTCh. 9 - Prob. 1.5PTCh. 9 - Prob. 1.6PTCh. 9 - Prob. 1.7PTCh. 9 - Prob. 1.8PTCh. 9 - Prob. 1.9PTCh. 9 - Prob. 1.10PTCh. 9 - Prob. 2.1PTCh. 9 - Prob. 2.2PTCh. 9 - Prob. 2.3PTCh. 9 - Prob. 2.4PT
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