assumptions about them: * Independent. The error for one observation is independent of the error for any other observation. * Equal variance. All errors have the same variance‚ Var(ε) = σε2. * Normal. The errors are normally distributed. If these assumptions hold‚ then the collection of all possible errors forms a normal population with mean 0 and variance σε2‚ abbreviated ε ̴̴ N (0‚ σε2). Simple Regression Model (SRM) observed values of the response Y are linearly related to values of the
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information. We define σt to be the time t 2 conditional variance of ηt+1 or the conditional expectation of ηt+1 . We assume the conditional on time t information‚ the innovation is normally distributed: 2 ηt+1 ∼ N (0‚ σt ) (1) The unconditional variance of the innovation‚ σ 2 ‚ is just the unconditional 2 expectation of σt . 2 2 σ 2 ≡ E[ηt+1 ] = E[σt ] (2) 2 The variability of σt around its mean does not change the unconditional 2 2 variance σ . The variability of σt does affect higher moments
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5) What are assumptions about the expected real return on TIPS‚ its volatility‚ and its correlation with the real return on the other asset classes? What is the correlation of TIPS with the proposed Policy Portfolio excluding TIPS? HMC has assumed that the current real yield of 4% on TIPS is a good estimate of the real expected return for the future. This relies on the expectation that the current investment in TIPS will provide returns in the future that will be similar to its current earning
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the word Statistics? [ 5 marks] 2. a. In a bivariate data on ‘x’ and ‘y’‚ variance of ‘x’ = 49‚ variance of ‘y’ = 9 and covariance (x‚y) = -17.5. Find coefficient of correlation between ‘x’ and ‘y’. [ 5 marks] b. Enumerate the factors which should be kept in mind for proper planning. [ 5 marks] 3. The percentage sugar content of Tobacco in two samples was represented in table 11.11. Test whether their population variances are same. [ 10 marks] Table 1. Percentage sugar content of Tobacco in two
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volume shifts to the right; (see the graph below) it may not be at the equilibrium but it’s getting closer to the equilibrium. (Period 2 production lies between period 1 and equilibrium production level) In the second half of the year‚ the labor variance looks worse than the first term. This is the result of an increase in production during second term. In the first half of the year‚ the company did not meet its production quota (therefore less materials and labor were used for production). So Carlo
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this tool to compute the global minimum variance portfolio and the tangency portfolio for the three-firm example (see the spreadsheet 3firm.xls). The spreadsheet for this tutorial is called solverex.xls. The data for this example are given in the following table Stock 1 2 3 E[R] 0.229 0.138 0.052 VAR(R) 0.924 0.862 0.528 COV(I‚J) 0.063 -0.582 -0.359 PAIR(I‚J) (1‚2) (1‚3) (2‚3) For convenience‚ I have named the cells containing the expected returns‚ variances and covariances. See the 483solverex
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NAME: ANSWER KEY Econometrics First Test‚ Queens College‚ I. R. Kelly Thursday‚ September 27th‚ 2012‚ 9:25-10:40am Please put all answers on the question sheet. You have one hour and fifteen minutes to finish the test. Best of luck. 1. (6 points) How does a panel data set differ from a regular pooled data set? Give a specific example. A pooled data set is one that combines both time series and cross-sectional data; in other words‚ there are many cross-sectional units over a period of time
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standard deviation (variances are equal). Confidence interval: df for t-multiple is (df1 + df2)‚ or (n1 – 1) + (n2 - 1) Pooled estimate of common standard deviation: SE of difference between two sample means ------------------------------------------------- Confidence interval for differences in sample means when variance is not equal. ------------------------------------------------- df for t-multiple is given by complex formula not shown in book when variance is not equal. Use StatTools
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8‚ 6‚ 3‚ 1‚ 12 A) 3 B) 5 C) 6 D) 7 Find the mode for the following data? 5‚ 4‚ 3‚ 4‚ 5‚ 6‚ 5‚ 5‚ 3‚ 4 A) 3 B) 4 C) 5 D) 6 If a set of data has 49 values with a variance of 9.6‚ then the standard deviation is _________. A) 1.4 B) 0.4 C) 0.2 D) 3.1 If a data set has 9 values and a standard deviation 9.4‚ then the variance is ________. A) 88.4 B) 3.1 C) 29.5 D) 28.2 The staff at a small company includes: 4 secretaries‚ 20 technicians‚ 4 engineers‚ 2 executives‚ and 50 factory workers
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amount of money actually spent on the completed work = $6‚783.85 SV: this variance is used to calculate how much a project is over or under budget = -$15‚799.04 CV: this variance is used to determine if a project is ahead or behind schedule = $336.35 EAC: the expected total cost required to finish complete work = $34‚489.68 BAC: this is total cost of the project at completion = $36‚199.69 VAC: variance of total cost of the work and expected cost = $1‚710.01 Turn in this sheet
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