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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increases 3 points‚ the median will become __. a. 21 b. 21.5 c. 24 d. Cannot be determined without additional information. e. none of these 3. If you are told a population has a mean of 25 and a variance of 0‚ what must you conclude? a. Someone has made a mistake. b. There is only one element in the population. c. There are no elements in the population. d. All the elements in the population are 25. e
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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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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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over the past year? c. If the inflation rate last year was 4 percent‚ what was your total real rate of return on this investment? (Hint: use the Fisher equation) 3. Using the following returns‚ calculate the arithmetic average returns‚ the variances‚ and the standard deviations for X and Y. 4. You bought one of Great White Shark Repellant Co.’s 8 percent coupon bonds one year ago for $1‚030. These bonds make annual payments and mature six years from now. Suppose you decide to sell your bonds
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