Question
In: Statistics and Probability
Consider a portion of monthly return data (In %) on 20-year Treasury Bonds from 2006–2010. Date...
Consider a portion of monthly return data (In %) on 20-year Treasury Bonds from 2006–2010.
| Date | Return |
| Jan-06 | 4.12 |
| Feb-06 | 4.44 |
| Mar-06 | 4.02 |
| Apr-06 | 4.79 |
| May-06 | 4.01 |
| Jun-06 | 3.65 |
| Jul-06 | 4.07 |
| Aug-06 | 4.3 |
| Sep-06 | 5.49 |
| Oct-06 | 3.6 |
| Nov-06 | 4.71 |
| Dec-06 | 3.83 |
| Jan-07 | 4.14 |
| Feb-07 | 3.53 |
| Mar-07 | 3.68 |
| Apr-07 | 4.19 |
| May-07 | 3.34 |
| Jun-07 | 3.51 |
| Jul-07 | 3.48 |
| Aug-07 | 3.68 |
| Sep-07 | 4.96 |
| Oct-07 | 3.42 |
| Nov-07 | 4.17 |
| Dec-07 | 4.25 |
| Jan-08 | 5.05 |
| Feb-08 | 3.23 |
| Mar-08 | 5.34 |
| Apr-08 | 5.15 |
| May-08 | 4.58 |
| Jun-08 | 4.61 |
| Jul-08 | 4.25 |
| Aug-08 | 4.49 |
| Sep-08 | 3.55 |
| Oct-08 | 4.48 |
| Nov-08 | 4.38 |
| Dec-08 | 3.99 |
| Jan-09 | 3.73 |
| Feb-09 | 5 |
| Mar-09 | 3.2 |
| Apr-09 | 3.87 |
| May-09 | 5.5 |
| Jun-09 | 4.6 |
| Jul-09 | 3.79 |
| Aug-09 | 3.73 |
| Sep-09 | 5.35 |
| Oct-09 | 4.24 |
| Nov-09 | 3.86 |
| Dec-09 | 5.38 |
| Jan-10 | 3.61 |
| Feb-10 | 4.59 |
| Mar-10 | 4.22 |
| Apr-10 | 3.42 |
| May-10 | 4.54 |
| Jun-10 | 5.49 |
| Jul-10 | 4.29 |
| Aug-10 | 4.49 |
| Sep-10 | 3.78 |
| Oct-10 | 3.98 |
| Nov-10 | 3.44 |
| Dec-10 | 5.19 |
Estimate a linear trend model with seasonal dummy variables to make forecasts for the first three months of 2011. (Round intermediate calculations to at least 4 decimal places and final answers to 2 decimal places.)
| Year | Month | y^t |
| 2011 | Jan | |
| 2011 | Feb | |
| 2011 | Mar | |
Solutions
Expert Solution
| SUMMARY OUTPUT | |||||
| Regression Statistics | |||||
| Multiple R | 0.342473152 | ||||
| R Square | 0.11728786 | ||||
| Adjusted R Square | -0.108085453 | ||||
| Standard Error | 0.667759459 | ||||
| Observations | 60 | ||||
| ANOVA | |||||
| df | SS | MS | F | Significance F | |
| Regression | 12 | 2.784658333 | 0.232054861 | 0.52041592 | 0.890749266 |
| Residual | 47 | 20.95742667 | 0.445902695 | ||
| Total | 59 | 23.742085 | |||
| Coefficients | Standard Error | t Stat | P-value | Lower 95% | |
| Intercept | 4.38 | 0.350176015 | 12.50799546 | 1.45728E-16 | 3.675536725 |
| t | 0.004111111 | 0.005079818 | 0.809302785 | 0.42241928 | -0.006108165 |
| jan | -0.352777778 | 0.426008719 | -0.8280999 | 0.41179927 | -1.209796778 |
| feb | -0.328888889 | 0.425372229 | -0.773179033 | 0.443287781 | -1.184627436 |
| march | -0.399 | 0.424795535 | -0.939275408 | 0.35239166 | -1.253578389 |
| april | -0.211111111 | 0.424278882 | -0.497576288 | 0.621102762 | -1.064650127 |
| may | -0.105222222 | 0.423822488 | -0.248269559 | 0.805007427 | -0.957843092 |
| june | -0.131333333 | 0.423426548 | -0.310167924 | 0.757804477 | -0.983157676 |
| july | -0.531444444 | 0.423091234 | -1.256098927 | 0.215288202 | -1.38259422 |
| august | -0.373555556 | 0.422816687 | -0.883492934 | 0.381466985 | -1.224153015 |
| sept | 0.110333333 | 0.422603028 | 0.261080319 | 0.795171202 | -0.739834299 |
| oct | -0.575777778 | 0.422450348 | -1.362947814 | 0.179393519 | -1.425638257 |
| nov | -0.411888889 | 0.422358713 | -0.975211061 | 0.334448395 | -1.261565023 |
| Year | Month | t | y | ||
| 2011 | Jan | 61 | 4.278 | ||
| 2011 | Feb | 62 | 4.306 | ||
| 2011 | Mar | 63 | 4.24 | ||
orchestra answered 2 years agoRelated Solutions
Consider a portion of monthly return data (In %) on 20-year Treasury Bonds from 2006–2010. Date...
Consider a portion of monthly return data (In %) on 20-year
Treasury Bonds from 2006–2010.
Date
Return
Jan-06
3.13
Feb-06
4.15
⋮
⋮
Dec-10
4.48
Source: Federal Reserve Bank of Dallas.
Estimate a linear trend model with seasonal dummy variables to
make forecasts for the first three months of 2011. (Round
answers to 2 decimal places.)
Year
Month
yˆty^t
2011
Jan
2011
Feb
2011
Mar
DATA:
Index
Month
Year
Return
1
Jan
2006
3.13
2
Feb
2006
4.15
3
Mar...
Consider a portion of monthly return data (In %) on 20-year Treasury Bonds from 2006–2010. Date...
Consider a portion of monthly return data (In %) on 20-year
Treasury Bonds from 2006–2010.
Date
Return
Jan-06
5.12
Feb-06
4.14
⋮
⋮
Dec-10
5.47
Date
Return
ene-06
5.12
feb-06
4.14
mar-06
4.68
abr-06
5.25
may-06
5.35
jun-06
3.64
jul-06
4.68
ago-06
4.65
sep-06
3.55
oct-06
3.55
nov-06
4.3
dic-06
3.54
ene-07
3.8
feb-07
3.98
mar-07
4.33
abr-07
4.69
may-07
5.37
jun-07
4.74
jul-07
5.17
ago-07
3.22
sep-07
4.97
oct-07
5.13
nov-07
3.35
dic-07
3.86
ene-08
4.06
feb-08
4.64
mar-08...
Consider a portion of monthly return data (In %) on 20-year Treasury Bonds from 2006–2010. Index...
Consider a portion of
monthly return data (In %) on 20-year Treasury Bonds from
2006–2010.
Index
Month
Year
Return
1
Jan
2006
3.34
2
Feb
2006
3.13
3
Mar
2006
4.67
4
Apr
2006
3.51
5
May
2006
3.8
6
Jun
2006
5.42
7
Jul
2006
4.6
8
Aug
2006
4.69
9
Sep
2006
4.62
10
Oct
2006
4.28
11
Nov
2006
5.08
12
Dec
2006
3.34
13
Jan
2007
3.91
14
Feb
2007
5.02
15
Mar
2007
3.91
16...
Consider the following price data from 2002 to 2010 Year 2002 2003 2004 2005 2006 2007...
Consider the following price data from 2002 to 2010
Year
2002
2003
2004
2005
2006
2007
2008
2009
2010
Price
3.34
3.56
3.61
4.06
4.25
4.37
4.68
4.59
4.81
a. Compute the simple price index using 2002 as
the base year. (Round your answers to 2 decimal
places.)
Year
Price index
2002
2003
2004
2005
2006
2007
2008
2009
2010
b. Update the index numbers with a base year
revised from 2002 to 2005. (Round your answers to 2 decimal...
The following table shows a portion of the monthly returns data (in percent) for 2010–2016 for...
The following table shows a portion of the monthly returns data
(in percent) for 2010–2016 for two of Vanguard’s mutual funds: the
Vanguard Energy Fund and the Vanguard Healthcare Fund. [You may
find it useful to reference the t table.]
Date
Energy
Healthcare
Jan-10
-4.89
-0.11
Feb-10
1.6
0.54
Mar-10
2.27
1.37
Apr-10
2.99
-3.84
May-10
-11.6
-5.16
Jun-10
-5.77
-0.52
Jul-10
8.69
1.52
Aug-10
-6.02
-1.08
Sep-10
10.2
8.24
Oct-10
3.85
2.3
Nov-10
2.82
-2.5
Dec-10
5.55
2
Jan-16...
The following shows a portion of the monthly returns data (in percent) for 2010-2016 for two...
The following shows a portion of the monthly returns data (in
percent) for 2010-2016 for two of Vanguard's mutual funds: the
Vanguard Energy Fund and the Vanguard Healthcare Fund. [You may
find it useful to reference the t table.]
DATE : ENERGY : HEALTHCARE : (Jan-10, -4.95, -0.19); (Feb-10,
1.8, 0.39); (Mar-10, 2.47, 1.18); (Apr-10, 3.14, -3.8); (May-10,
-11.5, -5.09); (Jun-10, -5.95, -0.63); (Jul-10, 8.83, 1.47);
(Aug-10, -5.84, -1.1); (Sep-10, 10.13, 8.32); (Oct-10, 3.98, 2.37);
(Nov-10, 2.81, -2.41); (Dec-10, 5.71,...
The following table shows a portion of the monthly returns data (in percent) for 2010–2016 for...
The following table shows a portion of the monthly returns data
(in percent) for 2010–2016 for two of Vanguard’s mutual funds: the
Vanguard Energy Fund and the Vanguard Healthcare Fund. [You may
find it useful to reference the t table.] Date Energy Healthcare
Jan-10 −4.86 −0.08 Feb-10 1.90 0.56 ⋮ ⋮ ⋮ Dec-16 0.10 −5.30 SOURCE:
www.finance.yahoo.com. Click here for the Excel Data File a.
Calculate the sample correlation coefficient rxy. (Round
intermediate calculations to at least 4 decimal places...
You have monthly data on gasoline prices in two cities—Vancouver and Toronto, for the years 2006–2010....
You have monthly data on gasoline prices in two cities—Vancouver
and Toronto, for the years 2006–2010. In each month of each year,
you observe the average price of gasoline in each city. Prices in
Vancouver are usually higher than in Toronto, but the cities follow
similar price trends, as prices rise in the summer months and
respond similarly to demand and cost shocks. However, there are
month-to-month fluctuations for various reasons.
Starting from January 1, 2008, Vancouver imposed a carbon...
Given the following information: Settlement date: 13 August 2001 Treasury bond maturity date: 25/11/2010 Treasury bond...
Given the following information:
Settlement date: 13 August 2001
Treasury bond maturity date: 25/11/2010
Treasury bond coupon rate: 6.25 percent, paid semiannually
Treasury bond quoted price: 110.20
Futures quoted price: 115.94
Futures expiry date: 28/09/2001
Repo rate: 4.9 percent
Assume that the bond has a $100 million face value, and futures
contract has a $1 million
nominal amount.
a) What is the implied repo rate? Interpret your finding.
b) What is cash and carry arbitrage trade? Explain the
process.
c)...
THe Golfing Statistics provides data for a portion of the 2010 professional season for the top...
THe Golfing Statistics provides data for a portion of
the 2010 professional season for the top 25 golfers.
A) Find the best multiple regression model for
predicting earnings/event as a function of the remaining
variables.
B) Find the best multiple regression model for
predicting average score as a function of the other variables
except earning sand events.
Golfing Statistics
Earnings/Event
Events
Avg. Score
GIR (%)*
Driving Distance
Driving Accuracy (%)
Putts/Round
$239,493.68
22
70.37
67.9
288.4...
ADVERTISEMENT
ADVERTISEMENT
Latest Questions
- Respond to the following in a minimum of 175 words: Discuss what elements should be present...
- 1) The 3rd bright fringe of a double slit interference pattern is 30.0 cm above the...
- A solar cell generates a potential difference of 0.320 V when a 445.0 ? resistor is...
- A ceiling fan consists of a small cylindrical disk with 5 thin rods coming from the...
- You measure the following quantities as A = 1.0 m ± 0.2 m, B = 2.0...
- Froya Fabrikker A/S of Bergen, Norway, is a small company that manufactures specialty heavy equipment for...
- When the electricity goes out on your campus, a backup source powers the servers that handle...
ADVERTISEMENT