STATISTICSMYSTAT LAB ACCESS CODE + PHS
13th Edition
ISBN: 9780134613949
Author: MCCLAVE
Publisher: PEARSON
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Textbook Question
Chapter 12.8, Problem 12.90ACB
Buy-side vs. sell-side analysts’ earnings forecasts. Refer to the Financial Analysts Journal (July/August 2008) comparison of earnings forecasts of buy-side and sell-side analysts, Exercise 12.74o {p. 732). Recall that the Harvard Business School professors used regression to model the relative optimism (y) of the analysts’ 3-month horizon forecasts. The following model was fit to data collected on 11,121 forecasts: E(y) = β0+β1x1 + β2x2 + β3x3, where
x1={1 if the analyst worked for a buy-side firm, 0 if the analyst worked for a sell-side firm}
x2=number of days between forecast and fiscal year-end (i.e., forecast horizon)
x3=natural logarithm of the number of quarters the analyst had worked with the firm
- a. The coefficient of determination for the model was reported as R2 = .069. Interpret this value.
- b. Use the value of R2 in part a to conduct a test of the global utility of the model. Use α =.01.
- c. The value of β1 was estimated as 1.07, with an associated t-value of 4.3. Use this information to test (α = .01.) whether x1 contributes significantly to the prediction of y.
- d. The professors concluded that “after controlling for forecast horizon and analyst experience, earnings forecasts by the analysts at buy-side firms are more optimistic than forecasts made by analysts at sell-side firms.” Do you agree?
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A researcher interested in explaining the level of foreign reserves for the country of Barbadosestimated the following multiple regression model using yearly data spanning the period 2001 to 2016: ??=?+????+????+????Where FR = yearly foreign reserves ($000’s), OIL = annual oil prices, EXP = yearly total exports ($000’s) and FDI = annual foreign direct investment ($000’s). The sample of data was processed using MINITAB and the following is an extract of the output obtained:Predictor Coef StDev t-ratio p-value Constant 5491.38 2508.81 2.1888 0.0491OIL 85.39 18.46 4.626 0.0006EXP -377.08 112.19 * 0.0057FDI -396.99 160.66 -2.471 ** S = 2.45 R-sq = 96.3% R-sq(adj) = 95.3%Analysis of VarianceSource DF SS MS F pRegression 3 1991.31 663.77 ? ??Error 12 77.4 6.45Total 15a) What is dependent and independent variables? b) Fully write out the regression equation [1] c) Fill in the missing values ‘*’, ‘**’, ‘?’and ‘??’
A researcher interested in explaining the level of foreign reserves for the country of Barbadosestimated the following multiple regression model using yearly data spanning the period 2001 to 2016: ??=?+????+????+????Where FR = yearly foreign reserves ($000’s), OIL = annual oil prices, EXP = yearly total exports ($000’s) and FDI = annual foreign direct investment ($000’s). The sample of data was processed using MINITAB and the following is an extract of the output obtained:
Predictor Coef StDev t-ratio p-value Constant 5491.38 2508.81 2.1888 0.0491OIL 85.39 18.46 4.626 0.0006EXP -377.08 112.19 * 0.0057FDI -396.99 160.66 -2.471 **
S = 2.45 R-sq = 96.3% R-sq(adj) = 95.3%
Analysis of VarianceSource DF SS MS F pRegression 3 1991.31…
A researcher interested in explaining the level of foreign reserves for the country of Barbadosestimated the following multiple regression model using yearly data spanning the period 2001 to 2016: ??=?+????+????+????Where FR = yearly foreign reserves ($000’s), OIL = annual oil prices, EXP = yearly total exports ($000’s) and FDI = annual foreign direct investment ($000’s). The sample of data was processed using MINITAB and the following is an extract of the output obtained:Predictor Coef StDev t-ratio p-value Constant 5491.38 2508.81 2.1888 0.0491OIL 85.39 18.46 4.626 0.0006EXP -377.08 112.19 * 0.0057FDI -396.99 160.66 -2.471 ** S = 2.45 R-sq = 96.3% R-sq(adj) = 95.3%Analysis of VarianceSource DF SS MS F pRegression 3 1991.31 663.77 ? ??Error 12 77.4 6.45Total 15
Perform the F Test making sure to state the null and alternative hypothesis. f) Given an interpretation of the term “R-sq” and comment on its value.
Chapter 12 Solutions
STATISTICSMYSTAT LAB ACCESS CODE + PHS
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