Take-home Exam Name___________________________________ MULTIPLE CHOICE. Choose the one alternative that best completes the statement or answers the question (each question is worth 3 points). THIS IS INDIVIDUAL WORK. NO TEAMWORK. 1) Quarterly sales data (in $10,000) for a small company specializing in green cleaning products are shown in the time series graph below. The forecasting method that would likely fit these data the best is A)linear trend. B) single exponential smoothing. C)moving average. D)naive. E)seasonal regression model. 2) A fourth-order autoregressive model, Lag(4) was fit to monthly closing stock prices, adjusted for dividends, of Boeing Corporation from January 2006 through August 2009 (closing price on the first trading day of the month). Based on the results shown below, the estimated model is Final Estimates of Parameters Type Lag1 Lag2 Lag3 Lag4 Constant Coef 0.8546 0.7386 -0.0764 -0.0452 9.784 SE Coef 0.1898 0.1603 0.1959 0.1245 1.223 T 4.51 4.61 -0.39 -0.36 8.00 P 0.000 0.000 0.699 0.597 0.000 1 A) Price (t) = 9.784 + 0.8546 Lag1 + 0.7386 Lag2 - 0.0764 Lag3-0.0452 Lag4 B) None of these. C) Price (t) = 1.223 + 0.1898 Lag1 + 0.1603 Lag2 + 0.1959 Lag3 + 0.1245 Lag4 D) Price (t) = 9.784 - 0.0764 Lag1 + 0.7386 Lag2 + 0.8546 Lag3 - 0.0452 Lag4 E) Price (t) = 1.223 + 0.1959 Lag1 + 0.1603 Lag2 + 0.1898 Lag3 +0.1245 Lag4 3) A fourth-order autoregressive model, Lag(4) was fit to monthly closing stock prices, adjusted for dividends, of Boeing Corporation from January 2006 through August 2009 (closing price on the first trading day of the month). Based on the results shown below, at a = .05 which of the following statement is true? Final Estimates of Parameters Type Lag1 Lag2 Lag3 Lag4 Constant Coef 0.8546 0.7386 -0.0764 -0.0452 9.784 SE Coef 0.1898 0.1603 0.1959 0.1245 1.223 T 4.51 4.61 -0.39 -0.36 8.00 P 0.000 0.000 0.699 0.597 0.000 I. the first and second lagged variable is significant. II.the fourth lagged variable is significant. III.the second lagged variable is not significant. A)I only B) Both II and III C)I, II, and III D)III only E)II only 4) For the following data, the forecasted monthly return for January 2008 using a threemonth moving average is Month July August September October November December A) 1.55 B) 1.77 Monthly Return (%) 2.20 2.5 1.8 1.4 1.1 1.9 C) 1.47 D) 1.9 E) 2.47 5)A third-order autoregressive model, AR (3) was fit to monthly closing stock prices, adjusted for dividends, of Boeing Corporation from January 2006 through August 2008 2 (closing price on the first trading day of the month). Based on the results shown below, at = .05 which of the following statement is true? Final Estimates of Parameters Type AR 1 AR 2 AR 3 Constant Coef 0.9247 0.0429 -0.0764 8.362 SE Coef 0.1898 0.2603 0.1959 1.223 T 4.87 0.16 -0.39 6.84 P 0.000 0.870 0.699 0.000 I. the first lagged variable is significant. II. the second lagged variable is significant. III. the first lagged variable is not significant. A) I, II, and III B) III only C) II only D) Both II and III E) I only 6) Data were collected on the following variables: turnover rate, job growth, number of employees, and innovative index in a sample of firms was selected from the high tech industry (Industry = 1) and the financial services sector (Industry = 0). Which of the following independent variables are significant in this regression equation at = . 05? Dependent Variable is Turnover Rate Predictor Constant Innovative Index Job Growth Employees Industry A) B) C) D) E) Coef 9.2439 -0.02402 -0.50127 0.0006144 -2.8329 SE Coef 0.7871 0.01524 0.07287 0.0005461 0.4699 Job Growth Innovative Index Industry Innovative Index and Job Growth Job Growth and Industry 3 T 11.74 -1.58 -6.88 1.13 -6.03 P 0.000 0.134 0.000 0.276 0.000 7) Based on the scenario in question 6, does the scatterplot below suggest about developing a multiple regression model to predict turnover rate using job growth and industry as predictor variables? A) B) C) D) E) Using the interaction term Job Growth*Industry in the model is appropriate. Using Industry as an indicator variable in this model is appropriate. Job Growth should not be included in the model as a variable. Using Job Growth as an indicator variable in this model is appropriate. None of these. 8) A multiple regression model was fit to predict size of company bonuses from number of employees and unionized employees (1 = yes, 0 = no). The resulting model was: = -1241.0 + 0.8872 Employees + 5253 Union - 0.05424 Employees*Union. Based on this model, what is the annual average bonus for a company with 5000 employees that are unionized? A) $8,176.80 B) $3,195 C) $5,253 D) $10,259.20 E) $7,980.25 4 9) Data were collected on company bonuses, the number of employees at the company, and whether or not the employees were unionized (1 = yes, 0 = no) on a sample of 30 randomly selected. According to the multiple regression model below, at = .05 we can conclude that Dependent Variable is Average Annual Bonus Predictor Constant Employees Union Coef 347.9 0.6547 1259.5 S = 1631.56 SE Coef 872.2 0.1105 605.8 T 0.40 5.92 2.08 R-Sq = 62.4% P 0.693 0.000 0.047 R-Sq(adj) = 59.6% Analysis of Variance Source Regression Residual Error Total DF 2 27 29 SS 119368382 71873285 191241667 MS 59684191 2661974 F 22.42 P 0.000 I. the multiple regression model is significant in explaining the size of company bonuses. II. the number of employees at the company is a significant variable in explaining the size of company bonuses. III. whether or not the employees are unionized is a significant variable in explaining the size of company bonuses. A) B) C) D) E) III only I only II only I, II, and III Both I and II 10) A regression model was developed to predict a firm's Price-Earnings Ratio (PE) using Growth Rate, Profit Margin, and whether the firm is Green (1 = Yes, 0 = No). Which of the following is the correct interpretation for the regression coefficient of Green? A) The regression coefficient indicates that the PE ratio of a firm that is green will, on average, be 2.09 higher than a firm that is not green with the same growth rate and profit margin. B) The regression coefficient is not significantly different from zero. C) The regression coefficient indicates that the PE ratio of a firm that is green will, on average, be 2.09 times higher than a firm that is not green with the same growth rate and profit margin. 5 D) The regression coefficient indicates that the PE ratio of a firm that is green will, on average, be 2.09 times lower than a firm that is not green with the same growth rate and profit margin. E) The regression coefficient indicates that the PE ratio of a firm that is green will, on average, be 2.09 lower than a firm that is not green with the same growth rate and profit margin. Bonus Points 11) Which of the following measures is used to check for collinearity when building a multiple regression model? A) Chef's Distance B) Determination Coefficient C) Standardized Residual D) Cook's Distance E) Variance Inflation Factor 12) Quarterly returns were forecasted for a mutual fund comprised of technology stocks. The forecast errors for the last six quarters are as follows: -0.47, 1.12, -0.85, 1.27, 0.07, and -0.05. The MAD based on these forecast errors is A) 0.18 B) 0.98 C) 0.77 D) 0.22 E) 0.64 6