BRUNEL UNIVERSITY Master of Science Degree examination Specimen Exam Paper 2005-2006 EC5002: Modelling Financial Decisions and Markets EC5030: Introduction to Quantitative Methods Time allowed: 1.5 hours Answer all of question 1 and at least two other questions

1. COMPULSORY Provide brief answers to all the following: (a) A sample of 20 observations corresponding to the model: Y = + X + u, gave the P P P following data: (X X)2 = 215:4, (Y Y )2 = 86:9, and (X X)(Y Y ) = 106:04. Estimate . (5 marks) (b) Prove that r2 = byx bxy , where byx is the least-squares (LS) slope in the regression of Y on X , bxy is the LS slope in the regression of X on Y , and r is the coe¢ cient of correlation between X and Y . (5 marks) (c) Present four alternative in‡ ation/unemployment regressions. (5 marks) (d) Give one reason for autocorrelated disturbances. (5 marks) (e) Explain how we might use the Breusch-Godfrey statistic to test estimated residuals for serial correlation. (5 marks) (f) The following regression equation is estimated as a production function for Q: lnQ = 1:37 + 0:632 lnK + 0:452 lnL, cov(bk ; bl ) = 0:055;

(0:257) (0:219)

where the standard errors are given in parentheses. Test the hypothesis that capital (K ) and labor (L) elasticities of output are identical. (5 marks) Continued (Turn over)

1

ANSWER TWO QUESTIONS FROM THE FOLLOWING: 2. (a) Economic theory supplies the economic interpretation for the predicted relationships between nominal (in‡ ation) uncertainty, real (output growth) uncertainty, output growth, and in‡ ation. Discuss …ve testable hypotheses regarding bidirectional causality among these four variables. (25 marks) + yt

(b) An investigator estimates a linear relation for German output growth (yt ): yt = 1 + ut , t = 1850; : : : ; 1999. The values of …ve test statistics are shown in Table 1: Discuss the results. Is the above equation correctly speci…ed? (10 marks)

3. (a) i) Show how various examples of typical hypotheses …t into...

...REGRESSIONANALYSIS
Correlation only indicates the degree and direction of relationship between two variables. It does not, necessarily connote a cause-effect relationship. Even when there are grounds to believe the causal relationship exits, correlation does not tell us which variable is the cause and which, the effect. For example, the demand for a commodity and its price will generally be found to be correlated, but the question whether demand depends on...

...
Unit 5 – RegressionAnalysis
Mikeja R. Cherry
American InterContinental University
Abstract
In this brief, I will demonstrate selected perceptions of the company Nordstrom, Inc., a retailer that specializes in fashion apparel with over 12 million dollars in sales last year. I will research, review, and analyze perceptions of the company, create graphs to show qualitative and quantitative analysis, and provide a summary of my findings....

...you
cannot consult the regression R2 because
(a) ln(Y) may be negative for 0 < Y < 1.
(b) the TSS are not measured in the same units between the two models.
(c) the slope no longer indicates the effect of a unit change of X on Y in the log-linear
model.
(d) the regression R2 can be greater than one in the second model.
1
(v) The exponential function
(a) is the inverse of the natural logarithm function.
(b) does not play an important role in modeling nonlinear...

...RegressionAnalysis Exercises
1- A farmer wanted to find the relationship between the amount of fertilizer used and the yield of corn. He selected seven acres of his land on which he used different amounts of fertilizer to grow corn. The following table gives the amount (in pounds) of fertilizer used and the yield (in bushels) of corn for each of the seven acres.
|Fertilizer Used |Yield of Corn...

...REGRESSIONANALYSIS (SIMPLE LINEAR REGRESSION)
Submitted By
Maqsood Khan
MS - MANAGEMENT SCIENCES, 2nd SEMESTER
Submitted TO
GOHAR REHMAN
ASSISTANT: PROFESSOR, SUIT
Sarhad University
Of Science And Information Technology
Peshawar
SESSION: 2012-13
TABLE OF CONTENTS
|S. No. |Subjects |Page No. |
|1...

...have large enough data if possible to strengthen our conclusion.
2. RegressionAnalysis Jake recently learned a very interesting statistical topic, regressionanalysis. Although he can tell the investment returns on DJIA and AT&T are somewhat dependent, he can’t tell how much one influences the other. Additionally he isn’t sure that there is any significant time trend in DJIA and AT&T. So now he is going to do regression...

...l
RegressionAnalysis
Basic Concepts & Methodology
1. Introduction
Regressionanalysis is by far the most popular technique in business and economics for
seeking to explain variations in some quantity in terms of variations in other quantities, or to
develop forecasts of the future based on data from the past. For example, suppose we are
interested in the monthly sales of retail outlets across the UK. An initial data...

...Assignment # 1
Forecasting (Total marks: 100)
Following 10 Problems are for submission
Problem 1: [12]
Registration numbers for an accounting seminar over the past 10 weeks are shown below:
|Week 1 2 3 4 5 6 7 8 9 10 |
|Registrations 24 23 28 30 38 32 36 40 44 40 |
a) Starting with week...

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