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ECONOMETRICS Question 2 The FTSE/JSE All-Share Index is the leading benchmark of the South African equity market. A researcher intends to establish the relationship between
ECONOMETRICS
Question 2 The FTSE/JSE All-Share Index is the leading benchmark of the South African equity market. A researcher intends to establish the relationship between FTSE/JSE Index (Y) and consumer price index [CPI] (X). The data for the period 2006 to 2017 was summarised as follows: ECO E(Yi Q.2.1 Q.2.2 Q.2.3 Q.2.4 Q.2.5 2.18 = 0.32 E(Xi = 40.96 = 0.20 Y 12 x 6.12 Using the information provided above, calculate the estimated value of: Q.2.1.1 Q.2.1.2 Using the values obtained in Q.2.1 above, write down the equation of the regression line. Interpret the equation. Calculate the coefficient of determination (R2) for the regression equation above. Interpret your answer. Explain what is the adjusted R2 (R2 ) and why it is preferred by researchers. Calculate the adjusted R2 (R 2 ) where the sample size is 11. (3) (3)
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