Xander Feng is a quantitative analyst with Red Star Securities Ltd., a company b
ID: 3371258 • Letter: X
Question
Xander Feng is a quantitative analyst with Red Star Securities Ltd., a company based in Shanghai, China. Red Star provides stock brokering and investment advisory services to instituti onalinvestors. Extending its regular business, the firm also maintains equity and fixed income investment research teams. Feng is a member ofthis team Fengis forecasting quarterly sal es of Xiomi Inc, a smart phone manufacturer based in China. The regression model is: Saleso + bi Sales.-1+E, The regression results for the model are presented in the table below: Regressio n statistics Multiple R R- squared 0.7436 Observations 120 0.8623 Coeficient Standard Error Intercept 313.24 99.43 Lag 1 0.67 0.16 Autocorrelation of Residuals Lag Autocorrelation 0.083 0.092 0.075 4 0.068 0.125 "The critical values, assuming 5% significance level and 118 degrees of reedom, are 1.980 for a two-tail t test and 1.658 or a one-tail t test. Which, if any, ofthe autocorrelations of the error term differ signific antly fromzero at p 0.05? ANone. B The auto correlation at Lag 4. C The auto correlation at Lag 6.Explanation / Answer
The given model is
Salest = b0 +b1 Salest-1 + et
From the table we see that estiamte model is
Salest = 313.24 + 0.67Salest-1
The autocorrelation at lag 4.
log r DW test 1 -0.083 2.166 2 0.092 1.816 3 0.075 1.85 4 0.117 1.766 5 0.068 1.864 6 -0.125 2.25Related Questions
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