Compute the Durbin Watson test statistic for each data set and enter it below (rounded to two decimals) and state "Yes" or "No" for autocorrelation.
Closing Price:
Sales:
Jobson Data Set:
Corporate Bonds:
Closing Price: Durbin Watson Test Statistic: Sales: Durbin Watson Test Statistic: Jobson Data Set: Durbin Watson Test Statistic: Corporate Bonds: Durbin Watson Test Statistic: ; Is Autocorrelation present?: Is Autocorrelation present?: ); Is Autocorrelation present?: Is Autocorrelation present?: Calculate the Durbin-Watson Test Statistic and Determine if there is Autocorrelation Present X=2(et et-1) d = X=1 et? Period Price (S) 1 82.87 2 83 3 83.61 4 83.15 5 82.84 6 83.99 7 84.55 8 84.36 9 85.53 10 86.54 11 86.89 12 87.77 13 87.29 14 87.99 15 88.8 16 88.8 17 89.11 18 89.1 19 88.9 20 89.21 Calculate the Durbin-Watson Test Statistic and Determine if there is Autocorrelation Present d 27=2(et et-1) =1 e-2 2 Note: Sales is the dependent variable. NH Period and Advertising are the independent variables. Period 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 Year 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 Sales 3083 3149 3218 3239 3295 3374 3475 3569 3597 3725 3794 3959 4043 4194 4318 4493 4683 4850 5005 5236 Advertising 75 78 80 82 84 88 93 97 99 104 109 115 120 127 135 144 153 161 170 182 Calculate the Durbin-Watson Test Statistic and Determine if there is Autocorrelation Present Independent Value CPI 41.2 41.4 41.5 41.8 42.0 42.1 42.4 42.7 42.6 42.7 42.8 43.1 Aug 1971 43.3 Predicted Value Month Treasury Bill Rate - Jan 1971 4.59 Feb 1971 4.51 . Mar 1971 3.30 0 Apr 1971 3.05 1 May 1971 3.06 2 Jun 1971 3.15 3 Jul 1971 3.58 3.88 5 Sep 1971 3.93 6 Oct 1971 3.79 7 Nov 1971 3.31 8 Dec 1971 3.25 9 Jan 1972 3.29 0 Feb 1972 3.48 1 Mar 1972 3.51 2 Apr 1972 3.65 3 May 1972 3.68 4 Jun 1972 3.58 5 Jul 1972 3.48 5 Aug 1972 3.47 7 Sep 1972 3.57 8 Oct 1972 3.57 9 Nov 1972 3.61 0 Dec 1972 3.66 1 Jan 1973 3.79 2 Feb 1973 3.92 3 Mar 1973 4.29 4 4.73 5 May 1973 5.08 6 Jun 1973 5.40 7 Jul 1973 5.65 8 Aug 1973 6.03 9 Sep 1973 6.41 0 Oct 1973 6.51 1 Nov 1973 6.46 2 Dec 1973 6.38 3 4 43.4 43.5 43.7 43.8 43.8 44.4 44.7 44.9 44.9 45.0 45.3 45.7 46.0 46.1 46.6 47.4 47.4 47.8 48.4 Apr 1973 48.7 48.8 49.2 49.5 Closing Price Sales Jobson Data Set Corporate Bonds + K B D E H J Calculate the Durbin-Watson Test Statistic and Determine if there is Autocorrelation Present WFC u Company Years GE 1 MS 1 1.25 TOTAL 1.75 TOTAL 3.25 GS 3.75 2 MS 4 3 JPM 4.25 1 4.75 5 RABOBK 4.75 5 TOTAL 5 MS 5 AXP S MTNA BAC 5 1 VOD 5 2 SHBASS S 8 AIG + HCN SMS 9.25 GS 9.25 GE 9.5 3 GS 9.75 9.75 BAC 9.75 RABOBK 9.75 WFC 10 TOTAL 10 MTNA 10 LNC 10 FCX 10 NEM 10 10.25 HSBC 12 GS 25.5 25.75 2 GE 26 B GE 26.75 HT 28.5 5 29.75 Yield 0.767 1.816 0.797 1.378 1.748 3.558 4.413 2.31 3.332 2.805 2.069 4.739 2.181 4.366 3.699 1.855 2.861 3.452 4.184 5.798 5.365 3.778 5.367 4.414 4.949 4.203 3.682 3.27 6.046 4.163 4.03 3.866 3.856 4.079 6.913 8.204 5.13 5.138 4.93 5.903 Closing Price Sales Jobson Data Set Corporate Bonds +
