Following are the average yields of long-term new corporate bonds over a several-month period published by the
Question:
Following are the average yields of long-term new corporate bonds over a several-month period published by the Office of Market Finance of the U.S. Department of the Treasury.
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a. Explore trends in these data by using regression trend analysis. How strong are the models? Is the quadratic model significantly stronger than the linear trend model?
b. Use a 4-month moving average to forecast values for each of the ensuing months.
c. Use simple exponential smoothing to forecast values for each of the ensuing months. Let α = .3 and then α = .3 let Which weight produces better forecasts?
d. Compute MAD for the forecasts obtained in parts (b) and (c) and compare the results.
e. Determine seasonal effects using decomposition on these data. Let the seasonal effects have four periods.
After determining the seasonal indexes, deseasonalize thedata.
Step by Step Answer:
a The linear model Yield 996 014 Month F 21924 p 000 R 2 909 s e 3212 The quadratic model Yield 104 0252 Month 00445 Month 2 F 17621 p 000 R 2 944 s e 2582 In the quadratic model both t ratios are sig...View the full answer
Business Statistics for Contemporary Decision Making
ISBN: 978-0470910184
6th Edition
Authors: Ken Black
