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Regression Analysis Homework Solution for FIN642 Winter 2004, Lecture 4 - Prof. Thomas C. , Study notes of Finance

Drexel University Finance

Prof. Thomas C. Chiang

The solution to the homework problem of a regression analysis for the fin642 winter 2004 course. The analysis involves calculating the coefficients, standard errors, t-statistics, and probabilities for the variables ustbr(-1), dpi(-1), q2, q3, and q4, using the given data. The document also includes the r-squared, adjusted r-squared, mean dependent variable, standard error of regression, akaike information criterion, schwarz criterion, log likelihood, and f-statistic.

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Uploaded on 08/18/2009

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Download Regression Analysis Homework Solution for FIN642 Winter 2004, Lecture 4 - Prof. Thomas C. and more Study notes Finance in PDF only on Docsity! FIN642_Winter2004 Lecture 4 Homework (a) PHS=-459.080 – 17.831*USTBR(-1) + 0.041*DPI(-1) + 93.252*Q2 + 76.717*Q3 + 22.655*Q4 (b) and (c) PERIOD PHS USTBR DPI Q2 Q3 Q4 PHS_forecast (At - Ft) (At-Ft)2 31-Dec-98 304.6 4.31 20194 0 0 1 31-Mar-99 294.1 4.42 20377 0 0 0 291.961 2.139 4.574 30-Jun-99 377.1 4.46 20472 1 0 0 390.737 -13.637 185.955 30-Sep-99 355.6 4.70 20756 0 1 0 377.448 -21.848 477.339 31-Dec-99 308.1 5.06 21124 0 0 1 330.810 -22.710 515.734 MSE 295.900 RMSE 17.202 Double click on any point on above table to activate excel and view calculation formula. Dependent Variable: PHS Method: Least Squares Date: 11/30/03 Time: 15:38 Sample(adjusted): 1990:4 1998:4 Included observations: 33 after adjusting endpoints Variable Coefficient Std. Error t-Statistic Prob. C -459.0801 83.31449 -5.510206 0.0000 USTBR(-1) -17.83114 2.173983 -8.202061 0.0000 DPI(-1) 0.041294 0.004485 9.207624 0.0000 Q2 93.25184 7.635678 12.21265 0.0000 Q3 76.71742 7.424575 10.33290 0.0000 Q4 22.65513 7.638356 2.965970 0.0062 R-squared 0.930376 Mean dependent var 270.8727 Adjusted R-squared 0.917482 S.D. dependent var 53.10294 S.E. of regression 15.25430 Akaike info criterion 8.450566 Sum squared resid 6282.733 Schwarz criterion 8.722659 Log likelihood -133.4343 F-statistic 72.15902 Durbin-Watson stat 1.189063 Prob(F-statistic) 0.000000

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Regression Analysis Homework Solution for FIN642 Winter 2004, Lecture 4 - Prof. Thomas C. , Study notes of Finance

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