Connect Hosted by ALEKS Access Card or Elementary Statistics
3rd Edition
ISBN: 9781260373752
Author: William Navidi Prof., Barry Monk Professor
Publisher: McGraw-Hill Education
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Chapter 9.5, Problem 11E
To determine
To conduct the hypothesis test for standard deviation using the given information.
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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-
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Chapter 9 Solutions
Connect Hosted by ALEKS Access Card or Elementary Statistics
Ch. 9.1 - In Exercises 7 and 8, fill in each blank with the...Ch. 9.1 - In Exercises 7 and 8, fill in each blank with the...Ch. 9.1 - In Exercises 9-12, determine whether the statement...Ch. 9.1 - In Exercises 9-12, determine whether the statement...Ch. 9.1 - In Exercises 9-12, determine whether the statement...Ch. 9.1 - In Exercises 9-12, determine whether the statement...Ch. 9.1 - In Exercises 13-16, determine whether the...Ch. 9.1 - In Exercises 13-16, determine whether the...Ch. 9.1 - In Exercises 13-16, determine whether the...Ch. 9.1 - In Exercises 13-16, determine whether the...
Ch. 9.1 - In Exercises 17–20, determine whether the...Ch. 9.1 - In Exercises 17-20, determine whether the outcome...Ch. 9.1 - In Exercises 17–20, determine whether the...Ch. 9.1 - In Exercises 17–20, determine whether the...Ch. 9.1 - Fertilizer: A new type of fertilizer is being...Ch. 9.1 - Big fish: A sample of loo flounder of a certain...Ch. 9.1 - Check, please: A restaurant owner claims that the...Ch. 9.1 - Coffee: The mean caffeine content per cup of...Ch. 9.1 - Big dogs: A veterinarian claims that the mean...Ch. 9.1 - Business trips A sales manager believes that the...Ch. 9.1 - Type I error: A company that manufactures steel...Ch. 9.1 - Type I error: Washers used in a certain...Ch. 9.1 - Scales: It is desired to check the calibration of...Ch. 9.1 - IQ: Scores on a certain IQ test are known to have...Ch. 9.1 - Probability of error: A corn has probability p of...Ch. 9.2 - In Exercises 23–28, fill in each blank with the...Ch. 9.2 - In Exercises 23-28, fill in each blank with the...Ch. 9.2 - Prob. 25ECh. 9.2 - In Exercises 23-28, fill in each blank with the...Ch. 9.2 - Prob. 27ECh. 9.2 - Prob. 28ECh. 9.2 - In Exercises 29-34, determine whether the...Ch. 9.2 - In Exercises 29-34, determine whether the...Ch. 9.2 - Prob. 31ECh. 9.2 - Prob. 32ECh. 9.2 - Prob. 33ECh. 9.2 - Prob. 34ECh. 9.2 - A test is made of H0:=50 versus H1:50. A sample of...Ch. 9.2 - A test is made of H0:=14 versus H1:14. A sample of...Ch. 9.2 - A test is made of H0:=130 versus H1:130. A sample...Ch. 9.2 - A test is made of H0:=5 versus H1:5. A sample of...Ch. 9.2 - A test of the hypothesis H0:=65 versus H1:65 was...Ch. 9.2 - A test of the hypothesis H0:=150 versus H1:150 was...Ch. 9.2 - True or false: If P=0.02, then The result is...Ch. 9.2 - True or false: If P=0.08, then The result is...Ch. 9.2 - A test of H0:=17 versus H1:17 is performed using a...Ch. 9.2 - A test of H0:=50 versus H1:50 is performed using a...Ch. 9.2 - A test of H0:=0 versus H1:0 is performed using a...Ch. 9.2 - Prob. 46ECh. 9.2 - If H0 is rejected at the =0.05 level, which of the...Ch. 9.2 - Prob. 48ECh. 9.2 - If P=0.03, which of the following is the best...Ch. 9.2 - Prob. 50ECh. 9.2 - Netflix: A study conducted in 2015 by the...Ch. 9.2 - Are you smarter than a second grader? A random...Ch. 9.2 - Height and age: Are older men shorter than younger...Ch. 9.2 - Calibrating a scale: Making sure that the scales...Ch. 9.2 - Prob. 55ECh. 9.2 - Prob. 56ECh. 9.2 - Prob. 57ECh. 9.2 - Prob. 58ECh. 9.2 - What are you drinking? Environmental Protection...Ch. 9.2 - Prob. 60ECh. 9.2 - Interpret calculator display: The age in years was...Ch. 9.2 - Interpret calculator display: The number of...Ch. 9.2 - Prob. 63ECh. 9.2 - Prob. 64ECh. 9.2 - Prob. 65ECh. 9.2 - Statistical or practical significance: A new...Ch. 9.2 - Test scores: A math teacher has developed a new...Ch. 9.2 - Prob. 68ECh. 9.2 - Prob. 69ECh. 9.2 - Prob. 70ECh. 9.2 - Prob. 71ECh. 9.2 - Large samples and practical significance: A sample...Ch. 9.3 - In Exercises 7 and 8, fill in each blank with the...Ch. 9.3 - Prob. 8ECh. 9.3 - Prob. 9ECh. 9.3 - Prob. 10ECh. 9.3 - Find the P-value for the following values of the...Ch. 9.3 - Find the P-value for the following values of the...Ch. 9.3 - Find the critical value or values for the...Ch. 9.3 - Find the critical value or values for the...Ch. 9.3 - Is there a doctor in the house? The market...Ch. 9.3 - College tuition: The mean annual tuition and fees...Ch. 9.3 - Big babies: The National Health Statistics Reports...Ch. 9.3 - Good credit: The Fair Isaac Corporation (FICO)...Ch. 9.3 - Commuting to work: The American Community Survey...Ch. 9.3 - Watching TV: The General Social Survey asked a...Ch. 9.3 - Prob. 21ECh. 9.3 - How much is in that can? A machine that fills...Ch. 9.3 - Prob. 23ECh. 9.3 - Prob. 24ECh. 9.3 - Keep cool: Following are prices, in dollars, of a...Ch. 9.3 - Prob. 26ECh. 9.3 - Prob. 27ECh. 9.3 - Prob. 28ECh. 9.3 - Interpret calculator display: A sample of adults...Ch. 9.3 - Prob. 30ECh. 9.3 - Prob. 31ECh. 9.3 - Prob. 32ECh. 9.3 - Does this diet work? In a study of the...Ch. 9.3 - Prob. 34ECh. 9.3 - Prob. 35ECh. 9.3 - Prob. 36ECh. 9.3 - Larger or smaller P-value? In a study of sleeping...Ch. 9.3 - Larger or smaller P-value? Juan and Mary want to...Ch. 9.3 - Interpret a P-value: A real estate agent believes...Ch. 9.3 - Interpret a P-value: The manufacturer of a...Ch. 9.3 - Using z instead of t: When the sample size is...Ch. 9.4 - In Exercises 5 and 6, fill in each blank with the...Ch. 9.4 - In Exercises 5 and 6, fill in each blank with the...Ch. 9.4 - Prob. 7ECh. 9.4 - Prob. 8ECh. 9.4 - In a simple random sample of size 80, there were...Ch. 9.4 - Prob. 10ECh. 9.4 - In a simple random sample of size 75, there were...Ch. 9.4 - In a simple random sample of size 150, there were...Ch. 9.4 - Spam: According to SecureList, 71.8% of all email...Ch. 9.4 - Confidence in banks: A poll conducted by the...Ch. 9.4 - Kids with cell phones: A marketing manager for a...Ch. 9.4 - Internet tax: The Gallup Poll asked 1015 U.S....Ch. 9.4 - Quit smoking: In a survey of 444 HIV-positive...Ch. 9.4 - Game consoles: A poll taken by the Software...Ch. 9.4 - Tattoo: A Harris poll taken surveyed 2016 adults...Ch. 9.4 - Curing diabetes: Vertical banded gastroplasty is a...Ch. 9.4 - Tweet tweet: An article in Forbes magazine...Ch. 9.4 - Online photos: A Pew poll surveyed 1802 Internet...Ch. 9.4 - Choosing a doctor: Which do patients value more...Ch. 9.4 - Prob. 24ECh. 9.4 - Interpret calculator display: In a recent poll,...Ch. 9.4 - Prob. 26ECh. 9.4 - Prob. 27ECh. 9.4 - Prob. 28ECh. 9.4 - Prob. 29ECh. 9.4 - Who will you vote for? A simple random sample of...Ch. 9.4 - Prob. 31ECh. 9.4 - Dont perform a test: Over the past 100 days, the...Ch. 9.4 - Exact test: When np010 or n(1p0)10, we cannot use...Ch. 9.5 - In Exercises 5 and 6, fill in each blank with the...Ch. 9.5 - Prob. 6ECh. 9.5 - Prob. 7ECh. 9.5 - Prob. 8ECh. 9.5 - Prob. 9ECh. 9.5 - Prob. 10ECh. 9.5 - Prob. 11ECh. 9.5 - Prob. 12ECh. 9.5 - A random sample of size 25 from a normal...Ch. 9.5 - Prob. 14ECh. 9.5 - Babies: A sample of 25 one-year-old girls had a...Ch. 9.5 - Watching TV: The General Social Survey asked a...Ch. 9.5 - IQ scores: Scores on an IQ test are normally...Ch. 9.5 - SAT scores: Scores on the math SAT are normally...Ch. 9.5 - How much is in that can? A machine that fills...Ch. 9.5 - Prob. 20ECh. 9.5 - Prob. 21ECh. 9.5 - Prob. 22ECh. 9.5 - Prob. 23ECh. 9.6 - In Exercises 5–12, slate which type of parameter...Ch. 9.6 - Prob. 6ECh. 9.6 - Prob. 7ECh. 9.6 - Prob. 8ECh. 9.6 - Prob. 9ECh. 9.6 - Prob. 10ECh. 9.6 - Prob. 11ECh. 9.6 - Prob. 12ECh. 9.6 - Saving for college: In a survey of 909 U.S. adults...Ch. 9.6 - Prob. 14ECh. 9.6 - Cookies: Following are the weights of 8 boxes of...Ch. 9.6 - Prob. 16ECh. 9.6 - Teacher salaries: A random sample of 50 public...Ch. 9.6 - Prob. 18ECh. 9.6 - Mercury pollution: Mercury is a toxic metal that...Ch. 9.6 - Prob. 20ECh. 9.7 - In Exercises 3-5, fill in each blank with the...Ch. 9.7 - Prob. 4ECh. 9.7 - Prob. 5ECh. 9.7 - In Exercises 6-8, determine whether the statement...Ch. 9.7 - Prob. 7ECh. 9.7 - Prob. 8ECh. 9.7 - Prob. 9ECh. 9.7 - A test has power 0.80 when 1=3.5. True or false:...Ch. 9.7 - Prob. 11ECh. 9.7 - Prob. 12ECh. 9.7 - Prob. 13ECh. 9.7 - Watch sour cholesterol: An article in the...Ch. 9.7 - Prob. 15ECh. 9.7 - Coffee beans: Refer to Exercise 12. A test of the...Ch. 9.7 - Prob. 17ECh. 9.7 - Prob. 18ECh. 9.7 - Prob. 19ECh. 9 - Fill in the blank: A test of the hypotheses H0:=65...Ch. 9 - A hypothesis test results in a P-value of 0.008....Ch. 9 - Prob. 3CQCh. 9 - Prob. 4CQCh. 9 - Prob. 5CQCh. 9 - Prob. 6CQCh. 9 - Prob. 7CQCh. 9 - In a random sample of 500 people who took their...Ch. 9 - Prob. 9CQCh. 9 - Prob. 10CQCh. 9 - Prob. 11CQCh. 9 - In a test of H0:=5 versus H1:5, the value of the...Ch. 9 - True or false: We can perform a test for a...Ch. 9 - Prob. 14CQCh. 9 - Prob. 15CQCh. 9 - Prob. 1RECh. 9 - Prob. 2RECh. 9 - Prob. 3RECh. 9 - Prob. 4RECh. 9 - Prob. 5RECh. 9 - Prob. 6RECh. 9 - Prob. 7RECh. 9 - Job satisfaction: The General Social Survey...Ch. 9 - Prob. 9RECh. 9 - Prob. 10RECh. 9 - Prob. 11RECh. 9 - Prob. 12RECh. 9 - Prob. 13RECh. 9 - Prob. 14RECh. 9 - Prob. 15RECh. 9 - Prob. 1WAICh. 9 - Prob. 2WAICh. 9 - Prob. 3WAICh. 9 - Prob. 4WAICh. 9 - Prob. 5WAICh. 9 - Prob. 6WAICh. 9 - Prob. 1CSCh. 9 - Prob. 2CSCh. 9 - Prob. 3CSCh. 9 - Prob. 4CSCh. 9 - Prob. 5CSCh. 9 - Prob. 6CSCh. 9 - Prob. 7CS
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