Question

In: Statistics and Probability

Use the International Stock Market database from “Excel Databases.xls” on Blackboard. Use Excel to develop a...

Use the International Stock Market database from “Excel Databases.xls” on Blackboard. Use Excel to develop a multiple regression model to predict the Nikkei by the DJIA, the Nasdaq, the S&P 500, the Hang Seng, the FTSE 100, and the IPC. Assume a 1% level of significance.

What percent of residuals are within 1 standard error? Write your answer as a number rounded to 1 decimal place. Do not include the % sign in your answer.

Excel Data: https://drive.google.com/file/d/1TQG5r2wzLGk--75whZXyb0SDTHZTWS0S/view?usp=sharing

Solutions

Expert Solution

data

NIKKEI 225 HANG SENG FTSE 100 IPC DJIA NASDAQ S&P 500
87.63 1658.5 5774.95 1351.73 8270.87 1591.56 869.89
97.73 1856.39 6375.22 1616.08 8000.86 1476.42 825.88
89.49 1820.22 6033.18 1436.55 8776.39 1577.03 903.25
86.68 1850.86 7041.92 1612.58 8829.04 1535.57 896.24
107.68 2319.76 8780.95 2284.53 9336.93 1720.95 968.75
118.69 2678.44 10077.78 2554.66 10850.66 2091.88 1164.74
121.78 2929.61 10569.58 2700.02 11543.55 2367.52 1282.83
127.03 2834.06 10912.45 2814.32 11378.02 2325.55 1267.38
138.12 3182.05 11797.14 3059.82 11350.01 2292.98 1280
132.27 3304.82 12020.49 2886.28 12638.32 2522.66 1400.38
124.23 2970.75 11561.18 2996.44 12820.13 2412.8 1385.59
125.67 3029.8 11534.82 2757.18 12262.89 2279.1 1322.7
127.03 3094.02 11869.34 2721.47 12266.39 2271.48 1330.63
137.03 3566.91 12853.11 2706.25 12650.36 2389.86 1378.55
141.48 3680.01 13202.62 2744.68 13264.82 2652.28 1468.36
146.86 4059.75 13710.23 2887.75 13371.72 2660.96 1481.14
145.66 3493.38 13292.91 2824.73 13930.01 2859.12 1549.38
142.62 3066.91 12744.42 2795.17 13895.63 2701.5 1526.75
142.31 2868.1 12683.95 2738.32 13357.74 2596.36 1473.99
148.36 2785.83 13271.05 2918.1 13211.99 2546.27 1455.27
147.16 2638.3 13213.43 2979.65 13408.62 2603.23 1503.35
144.26 2597.52 12833.75 2650.22 13627.64 2604.52 1530.62
144.55 2534.49 12491.48 2643.28 13062.91 2525.09 1482.37
148.38 2476.25 11972.75 2381.06 12354.35 2421.64 1420.86
145.38 2617.79 12379.44 2533.66 12268.63 2416.15 1406.82
144.57 2567.06 12175.05 2442.83 12621.69 2463.93 1438.24
141.71 2403.98 11926.86 2268.27 12463.15 2415.29 1418.3
139.99 2372.8 11727.62 2145.5 12221.93 2431.77 1400.63
138.07 2251.33 11229.61 1969.79 12080.73 2366.71 1377.94
137.52 2240.08 11323.31 1942.88 11679.07 2258.43 1335.85
134.09 2175.71 10981.88 1810.7 11381.15 2183.75 1303.82
135.75 2101.99 10851.78 1804.9 11185.68 2091.47 1276.66
137.92 2016.67 10740.7 1699.2 11150.22 2172.09 1270.2
149.8 2148.93 11033.48 1870.23 11168.31 2178.88 1270.09
146.92 2070.09 10464.16 1805.45 11367.14 2322.57 1310.61
137.66 2039.02 10244.06 1820.84 11109.32 2339.79 1294.87
139.92 2029.29 10324.87 1837.52 10993.41 2281.39 1280.66
136.5 1918.66 9646 1685.12 10864.86 2305.82 1280.08
125.61 1942.99 9490.98 1627.2 10717.5 2205.32 1248.29
118.87 1879.79 9413.49 1479.4 10805.87 2232.82 1249.48
118.36 1984.42 9652.19 1490.35 10440.07 2120.3 1207.01
113.63 1949.17 9746.37 1353.07 10568.7 2151.69 1228.81
106.54 1927.06 9366.65 1376.06 10481.6 2152.09 1220.33
104.15 1827.1 9142.46 1259.04 10640.91 2184.83 1234.18
104.66 1782.11 9098.04 1211.94 10274.97 2056.96 1191.33
104.65 1783.94 9089.81 1127.03 10467.48 2068.22 1191.5
109.24 1729.81 9281.12 1140.06 10192.51 1921.65 1156.85
112.78 1802.76 9600.89 1243.08 10503.76 1999.23 1180.59
109.39 1740.82 9221.95 1193.78 10766.23 2051.72 1203.6
111.68 1830.55 9162.32 1164.34 10489.94 2062.41 1181.27
104.79 1821.7 9130.15 1094.63 10783.01 2175.44 1211.92
100.91 1683.15 8568.45 1007.95 10428.02 2096.81 1173.82
99.49 1682.63 8369.66 975.11 10027.47 1974.99 1130.2
101.64 1669.73 8074.64 906.4 10080.27 1896.84 1114.58
101.27 1564.33 8065.1 890.57 10173.92 1838.1 1104.24
109.97 1575.17 8032.19 894.2 10139.71 1887.36 1101.72
102.77 1552.7 8126.01 875.08 10435.48 2047.79 1140.84
106.54 1532.17 7967.62 891.59 10188.45 1986.74 1120.68
112.69 1627.42 8192.45 950.59 10225.57 1920.15 1107.3
103.45 1788.16 8479.88 924.09 10357.7 1994.22 1126.21
102.15 1671.89 7969.92 880.17 10583.92 2029.82 1144.94
99.62 1619.86 8014.26 782.69 10488.07 2066.15 1131.13
87.63 1658.5 5774.95 1351.73 8270.87 1591.56 869.89

result

SUMMARY OUTPUT
Regression Statistics
Multiple R 0.942627
R Square 0.888545
Adjusted R Square 0.876603
Standard Error 6.69507
Observations 63
ANOVA
df SS MS F Significance F
Regression 6 20011.41484 3335.236 74.40742 7.22E-25
Residual 56 2510.142194 44.82397
Total 62 22521.55703
Coefficients Standard Error t Stat P-value Lower 95% Upper 95% Lower 95.0%
Intercept 56.7765 10.64499849 5.333631 1.79E-06 35.452 78.10099 35.452
HANG SENG -0.01454 0.005127838 -2.83567 0.006352 -0.02481 -0.00427 -0.02481
FTSE 100 0.011127 0.002987937 3.723996 0.000457 0.005142 0.017113 0.005142
IPC 0.009089 0.003239319 2.805767 0.006891 0.0026 0.015578 0.0026
DJIA -0.00833 0.003949001 -2.10978 0.03936 -0.01624 -0.00042 -0.01624
NASDAQ 0.020216 0.019942525 1.013721 0.315076 -0.01973 0.060166 -0.01973
S&P 500 0.014186 0.066891522 0.212068 0.832824 -0.11981 0.148185 -0.11981
RESIDUAL OUTPUT
Observation Predicted NIKKEI 225 Residuals Standard Residuals >1 <-1
1 84.81055 2.819446561 0.443109 1 1 1
2 90.31252 7.417480745 1.165744 0 1 0
3 82.071 7.418997997 1.165982 0 1 0
4 93.07343 -6.393426365 -1.0048 1 0 0
5 112.2575 -4.577490967 -0.71941 1 1 1
6 121.5944 -2.904384809 -0.45646 1 1 1
7 126.2103 -4.430323064 -0.69628 1 1 1
8 132.7652 -5.735162001 -0.90135 1 1 1
9 139.5343 -1.414330353 -0.22228 1 1 1
10 134.2745 -2.004450425 -0.31502 1 1 1
11 131.0771 -6.847061666 -1.0761 1 0 0
12 128.7982 -3.128155426 -0.49163 1 1 1
13 131.1913 -4.16129081 -0.654 1 1 1
14 134.9971 2.032885872 0.319492 1 1 1
15 139.0506 2.429407158 0.38181 1 1 1
16 139.9435 6.916485324 1.087007 0 1 0
17 143.2854 2.37464049 0.373203 1 1 1
18 139.8938 2.726198219 0.428454 1 1 1
19 143.2026 -0.892599571 -0.14028 1 1 1
20 152.5017 -4.141692803 -0.65092 1 1 1
21 154.7605 -7.600506959 -1.19451 1 0 0
22 146.7228 -2.462796518 -0.38706 1 1 1
23 146.1826 -1.632601066 -0.25658 1 1 1
24 141.8137 6.566280433 1.031968 0 1 0
25 146.0718 -0.691843843 -0.10873 1 1 1
26 142.1798 2.390176678 0.375644 1 1 1
27 140.2577 1.452311202 0.228248 1 1 1
28 139.4705 0.519482161 0.081643 1 1 1
29 133.6377 4.432305402 0.696589 1 1 1
30 135.1597 2.360334829 0.370954 1 1 1
31 131.6132 2.476789823 0.389256 1 1 1
32 130.5626 5.187449627 0.815268 1 1 1
33 131.4401 6.47987746 1.018388 0 1 0
34 134.3142 15.48582685 2.433779 0 1 0
35 130.36 16.5599532 2.60259 0 1 0
36 130.7755 6.884488468 1.081978 0 1 0
37 131.5513 8.368721924 1.315242 0 1 0
38 125.7776 10.72235775 1.685144 0 1 0
39 121.9176 3.692427061 0.580308 1 1 1
40 120.4676 -1.597568622 -0.25108 1 1 1
41 121.8722 -3.512194475 -0.55198 1 1 1
42 122.0571 -8.427148205 -1.32442 1 0 0
43 118.9759 -12.4358957 -1.95445 1 0 0
44 116.4023 -12.25230976 -1.92559 1 0 0
45 115.9901 -11.3300996 -1.78066 1 0 0
46 113.7263 -9.076333692 -1.42645 1 0 0
47 115.5969 -6.356880077 -0.99906 1 1 1
48 118.3425 -5.562503546 -0.87421 1 1 1
49 113.7794 -4.389382537 -0.68984 1 1 1
50 113.7448 -2.064810265 -0.32451 1 1 1
51 113.1601 -8.370064855 -1.31545 1 0 0
52 108.9644 -8.054350694 -1.26584 1 0 0
53 106.7172 -7.227167422 -1.13583 1 0 0
54 100.7562 0.883825796 0.138904 1 1 1
55 99.92433 1.345667045 0.211487 1 1 1
56 100.6786 9.291368305 1.460247 0 1 0
57 103.2095 -0.439534928 -0.06908 1 1 1
58 102.4337 4.106345951 0.64536 1 1 1
59 102.2413 10.44868919 1.642134 0 1 0
60 103.5262 -0.076229323 -0.01198 1 1 1
61 98.244 3.90600489 0.613874 1 1 1
62 99.94508 -0.325082623 -0.05109 1 1 1
63 84.81055 2.819446561 0.443109 1 1 1
X 40
n 63
0.634921

hence within 1 standard error

= 63.4921 %

= 63.5 %

orchestra answered 2 years ago
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