Question

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	Apr	2007	4.03
17	May	2007	4.85
18	Jun	2007	5.39
19	Jul	2007	4.66
20	Aug	2007	4.96
21	Sep	2007	4.82
22	Oct	2007	3.61
23	Nov	2007	3.23
24	Dec	2007	3.13
25	Jan	2008	5.31
26	Feb	2008	4.81
27	Mar	2008	5.06
28	Apr	2008	5.21
29	May	2008	3.83
30	Jun	2008	4.98
31	Jul	2008	4.7
32	Aug	2008	4.22
33	Sep	2008	4.36
34	Oct	2008	5.3
35	Nov	2008	4.72
36	Dec	2008	4.24
37	Jan	2009	5
38	Feb	2009	4.03
39	Mar	2009	5
40	Apr	2009	5.38
41	May	2009	3.61
42	Jun	2009	4.91
43	Jul	2009	3.81
44	Aug	2009	3.1
45	Sep	2009	3.88
46	Oct	2009	4.47
47	Nov	2009	3.39
48	Dec	2009	5.3
49	Jan	2010	4.98
50	Feb	2010	3.61
51	Mar	2010	3.94
52	Apr	2010	4.49
53	May	2010	4.49
54	Jun	2010	3.54
55	Jul	2010	4.17
56	Aug	2010	5.03
57	Sep	2010	3.79
58	Oct	2010	4.47
59	Nov	2010	4.74
60	Dec	2010	3.92

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.)

Answer 1