In: Statistics and Probability
The following data show the daily closing prices (in dollars per share) for a stock.
Date | Price ($) |
Nov. 3 | 83.71 |
Nov. 4 | 83.87 |
Nov. 7 | 83.40 |
Nov. 8 | 83.86 |
Nov. 9 | 83.24 |
Nov. 10 | 82.90 |
Nov. 11 | 84.66 |
Nov. 14 | 84.35 |
Nov. 15 | 85.74 |
Nov. 16 | 86.62 |
Nov. 17 | 86.74 |
Nov. 18 | 87.93 |
Nov. 21 | 87.98 |
Nov. 22 | 87.60 |
Nov. 23 | 88.22 |
Nov. 25 | 88.39 |
Nov. 28 | 88.94 |
Nov. 29 | 89.72 |
Nov. 30 | 89.77 |
Dec. 1 | 89.22 |
a. Define the independent variable Period, where Period 1 corresponds to the data for November 3, Period 2 corresponds to the data for November 4, and so on. Develop the estimated regression equation that can be used to predict the closing price given the value of Period (to 3 decimals).
Price=____+____Period
b. At the .05 level of significance, test for any positive autocorrelation in the data.
What is the value of the Durbin-Watson statistic (to 3 decimals)?
With critical values for the Durbin-Watson test for autocorrelation dL = 1.2 and du= 1.41, what is your conclusion?
- Select your answer -Cannot conclude a significant autocorrelation.There is a significant negative autocorrelation.There is a significant positive autocorrelation.Item 4
using minitab>Stat>Regression
we have
Regression Analysis: Price ($) versus Date
Analysis of Variance
Source DF Adj SS Adj MS F-Value P-Value
Regression 1 100.011 100.011 191.28 0.000
Error 18 9.411 0.523
Total 19 109.422
Model Summary
S R-sq R-sq(adj) R-sq(pred)
0.723077 91.40% 90.92% 89.25%
Coefficients
Term Coef SE Coef T-Value P-Value VIF
Constant 82.271 0.336 244.93 0.000
Date 0.3878 0.0280 13.83 0.000 1.00
Regression Equation
Price ($) = 82.271 + 0.3878 Date
Durbin-Watson Statistic
Durbin-Watson Statistic = 0.918993
a)t he estimated regression equation that can be used to predict the closing price given the value of Period (to 3 decimals).
Price=82.271+0.388*Period
b. the value of the Durbin-Watson statistic =0.919
With critical values for the Durbin-Watson test for autocorrelation dL = 1.2 and du= 1.41, what is your conclusion?
-we Can conclude a significant autocorrelation.
There is a significant positive autocorrelation.