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Assignment 2015

The document presents the results of a fitted simple linear regression model analyzing the dependent variable ERTURN_GENERAL_ELECTRIC using least squares method over a sample period from February 2002 to April 2013. It includes multiple regression outputs with varying coefficients for the RETURN_S_AND_P variable and dummy variables to account for outliers, showing significant statistical results with R-squared values ranging from 0.560 to 0.664. The analysis also includes normality tests and indicates the presence of upper and lower outliers affecting the model.

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0 views5 pages

Assignment 2015

The document presents the results of a fitted simple linear regression model analyzing the dependent variable ERTURN_GENERAL_ELECTRIC using least squares method over a sample period from February 2002 to April 2013. It includes multiple regression outputs with varying coefficients for the RETURN_S_AND_P variable and dummy variables to account for outliers, showing significant statistical results with R-squared values ranging from 0.560 to 0.664. The analysis also includes normality tests and indicates the presence of upper and lower outliers affecting the model.

Uploaded by

worku yaregal
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as DOCX, PDF, TXT or read online on Scribd
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2a) fitted simple liner regression modal

Dependent Variable: ERTURN_GENERAL_ELECTRIC


Method: Least Squares
Date: 06/04/23 Time: 23:09
Sample (adjusted): 2002M02 2013M04
Included observations: 135 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

C -0.004535 0.004627 -0.980130 0.3288


RETURN_S_AND_P 1.340157 0.102841 13.03133 0.0000

R-squared 0.560789 Mean dependent var -0.001240


Adjusted R-squared 0.557486 S.D. dependent var 0.080702
S.E. of regression 0.053684 Akaike info criterion -2.996692
Sum squared resid 0.383305 Schwarz criterion -2.953651
Log likelihood 204.2767 Hannan-Quinn criter. -2.979202
F-statistic 169.8155 Durbin-Watson stat 1.972490
Prob(F-statistic) 0.000000
2 ) remedial measurement

 Dot plot of residual


Eviews output with Extremely low (upper outlier) (2002 M07 (0.188)
Dummy1 =extremely upper layer

Dependent Variable: ERTURN_GENERAL_ELECTRIC


Method: Least Squares
Date: 06/04/23 Time: 23:55
Sample (adjusted): 2002M02 2013M04
Included observations: 135 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

C -0.006121 0.004437 -1.379479 0.1701


RETURN_S_AND_P 1.398694 0.099409 14.07014 0.0000
DUMMY1 0.194658 0.052086 3.737261 0.0003

R-squared 0.602815 Mean dependent var -0.001240


Adjusted R-squared 0.596797 S.D. dependent var 0.080702
S.E. of regression 0.051244 Akaike info criterion -3.082457
Sum squared resid 0.346628 Schwarz criterion -3.017895
Log likelihood 211.0658 Hannan-Quinn criter. -3.056221
F-statistic 100.1695 Durbin-Watson stat 1.977936
Prob(F-statistic) 0.000000

 Histogram –Normality test


Eviews output with Extremely low (lower outlier) (2009 M01 (-0.171)
dummy 2 =extremely lower layer
Dependent Variable: ERTURN_GENERAL_ELECTRIC
Method: Least Squares
Date: 06/04/23 Time: 23:56
Sample (adjusted): 2002M02 2013M04
Included observations: 135 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

C -0.004680 0.004291 -1.090694 0.2774


RETURN_S_AND_P 1.343879 0.097014 13.85246 0.0000
DUMMY1 0.188860 0.050152 3.765758 0.0002
DUMMY2 -0.170529 0.050197 -3.397170 0.0009

R-squared 0.634973 Mean dependent var -0.001240


Adjusted R-squared 0.626614 S.D. dependent var 0.080702
S.E. of regression 0.049313 Akaike info criterion -3.152073
Sum squared resid 0.318563 Schwarz criterion -3.065991
Log likelihood 216.7649 Hannan-Quinn criter. -3.117091
F-statistic 75.95926 Durbin-Watson stat 2.195859
Prob(F-statistic) 0.000000

 Histogram –Normality test


Eviews output with Extremely low (lower outlier) (2008 M04 (-0.158)
Dummy 3 =extremely lower layer
Dependent Variable: ERTURN_GENERAL_ELECTRIC
Method: Least Squares
Date: 06/04/23 Time: 23:58
Sample (adjusted): 2002M02 2013M04
Included observations: 135 after adjustments

Variable Coefficient Std. Error t-Statistic Prob.

C -0.003539 0.004147 -0.853498 0.3950


RETURN_S_AND_P 1.360553 0.093566 14.54109 0.0000
DUMMY1 0.189044 0.048301 3.913859 0.0001
DUMMY2 -0.170297 0.048345 -3.522532 0.0006
DUMMY3 -0.159992 0.047740 -3.351279 0.0011

R-squared 0.664001 Mean dependent var -0.001240


Adjusted R-squared 0.653663 S.D. dependent var 0.080702
S.E. of regression 0.047493 Akaike info criterion -3.220121
Sum squared resid 0.293230 Schwarz criterion -3.112518
Log likelihood 222.3582 Hannan-Quinn criter. -3.176394
F-statistic 64.22651 Durbin-Watson stat 2.192084
Prob(F-statistic) 0.000000

 Histogram –Normality test

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