# First and second order Auto-regressive analysis

INFORMATION 14

The data in DJIA.XLS (CD-> browse->Excel_Data_Files) represent the closing value of the Dow Jones Industrial Average (DJIA) over the 27-year period 1979 through 2005. See Problem 16.29 (p.675). Using EXCEL or PHStat2, answer the following:

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1. When fitting a third-order autoregressive model to the DJIA, what is A3?
a) -0.1884
b) -0.02075
c) -0.04354

2. When testing for the significance of the third-order autoregressive parameter with &#61537; = 0.05, can A3 be deleted?
a) Yes
b) No
c) Inconclusive

3. When fitting a second-order autoregressive model to the DJIA, what is A2?
a) -0.02075
b) -0.1413
c) -0.6447

4. When testing for the significance of the second-order autoregressive parameter with &#61537; = 0.05, can A2 be deleted?
a) Yes
b) No
c) Inconclusive

5. Do you think that we need to work on a first-order autoregressive model to the DJIA??
a) Yes, because the second order model fails.
b) Not necessary to fit the first order because the second order fits.
c) Inconclusive

6. If appropriate, provide the annual forecast of the DJIA for 2006.
a) 11,079.70
b) 14,033.14
c) 17,173.60

7. When applied an exponential trend model to this data, provide the annual forecast of the DJIA for 2006.
a) 8,161.8278
b) 11,199.5167
c) 16,821.32

When fitting a third-order autoregressive model to the DJIA, what is A3?
When testing for the significance of the third-order autoregressive parameter with &#61537; = 0.05, can A3 be deleted?
When applied an exponential trend model to this data, provide the annual forecast of the DJIA for 2006?

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