252cp402 4/26/02 (Open this document in 'Page Layout' view!)
Last Computer Problem
This problem is based on problem 12.62 in the textbook. The data are below.
Worksheet size: 100000 cells
MTB > RETR 'C:\MINITAB\MBS12-62.MTW'.
Retrieving worksheet from file: C:\MINITAB\MBS12-62.MTW
Worksheet was saved on 4/22/2002
MTB > print c1-c8
Row
C1
Country
C2
Vol
C3
CR
C4
em
C5
emd
C6
ecr
c7
gdp
c8
gd-cr
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
Afghanistan
Australia
China
Cuba
Germany
France
India
Belgium
Canada
Ethiopia
Haiti
Japan
Libya
Malaysia
Mexico
NewZealand
Nigeria
Oman
Panama
Spain
Sudan
Taiwan
Norway
Sweden
Togo
Ukraine
UnitedKingdom
UnitedStates
Vietnam
Zimbabwe
55.7
23.9
27.2
55.0
20.3
20.6
30.3
22.3
22.1
47.9
54.9
20.2
36.7
24.3
31.8
24.3
46.2
28.6
38.6
23.4
60.5
22.2
21.4
23.3
45.1
46.3
20.8
20.3
36.9
36.2
8.3
71.2
57.0
8.7
90.9
89.1
46.1
79.2
80.3
14.1
8.8
91.6
30.0
69.1
41.8
69.4
15.8
51.8
26.4
73.7
6.0
79.9
84.6
74.1
17.0
15.7
87.8
90.7
29.5
31.0
E
D
E
E
D
D
E
D
D
E
E
D
E
E
E
D
E
D
E
D
E
D
D
D
E
E
D
D
E
E
1
0
1
1
0
0
1
0
0
1
1
0
1
1
1
0
1
0
1
0
1
0
0
0
1
1
0
0
1
1
8.3
0.0
57.0
8.7
0.0
0.0
46.1
0.0
0.0
14.1
8.8
0.0
30.0
69.1
41.8
0.0
15.8
0.0
26.4
0.0
6.0
0.0
0.0
0.0
17.0
15.7
0.0
0.0
29.5
31.0
0.38
20.05
0.78
1.70
25.35
23.48
0.45
24.51
19.32
0.10
0.46
32.23
6.85
3.40
4.40
13.78
0.31
4.70
3.07
14.00
3.30
12.10
32.88
25.04
0.32
0.75
22.64
30.60
0.37
0.52
3.15
1427.56
44.46
14.79
2304.32
2092.07
20.74
1941.19
1551.40
1.41
4.05
2952.27
205.50
234.94
183.92
956.33
4.90
243.46
81.05
1031.80
19.80
966.79
2781.65
1855.46
5.44
11.77
1987.79
2775.42
10.91
16.12
MTB >
To set up these data, either copy column 1 through 4 directly into the Minitab worksheet or use the disk that
came with the book. This is the first time that I have used the disk, but the way I did it was to use Word to
open up the disk and went into the exercises and found x12.062. I saved x12.062 as a .txt document in a
place on the computer where I could find it. I then opened up the file on the computer in Word and added
the first four headings in the heading line. Minitab needs the heading line to keep it from reading data into
column labels. I then entered Minitab and used the file pull-down menu and 'open worksheet' to find the
data that I had stored. I labeled the columns.
I then did the following:
1) To create Column 5, I put in a 1 for every E that I found in Column 4 and a 0 for every D that I found in
Column 4.
2) To create Column 6, I multiplied Column 5 by Column 3. To do this I said
Let C6 = C3 * C5 or Let 'ecr' = 'CR' * 'emd'
3) I put the per capita income data 'gdp' into Column 7 by hand.
4) to create Column 8. I multiplied 'gdp' by 'CR' using the 'Let' instruction.
Save your worksheet when you finish as MBS12-62.mtw or something similar (.mtw. will be provided by
the program.)
Now I was ready for my regressions. The way that you do a regression is to say
'Regress C2 on m (list) ' where m is the number of independent variables and the list of the variables
follows.
For example: Regress c2 on 3 c3 c5 c6 or Regress 'Vol' on 3 'CR' 'emd' 'ecr' is a regression of the
volatility number on the credit rating, the market type dummy variable and the interaction between the two
variables. If the number after 'Regress' is wrong, your data may be damaged. If that happens use the 'file'
pulldown menu and 'open worksheet' to restore your data.
Please do the following regressions:
'Vol' against 'gdp'
'Vol against 'CR'
'Vol against 'CR', and 'emd'
'Vol against 'CR', 'emd' and 'ecr'
'Vol against 'CR', and 'gdp'
'Vol against 'CR', 'gdp' and 'gd-cr'
'Vol against 'CR', 'emd', 'ecr' and 'gdp'
'Vol against 'CR', 'emd', 'ecr', 'gdp' and 'gd-cr'
Finally try the command 'Stepwise c2 c3 c5 c6 c7 c8'
And say 'no' when it asks whether to continue. It will take 'Vol' and use the other values as independent
variables to see which are most powerful in explaining 'Vol'. It quits when it has an adequate explanation.
Try the regression that it suggests and try to explain why I didn't like it.
Now look at your R-squares, significance tests etc. If volatility is undesirable, how would you expect things
like Credit ratings, market type and per capita income to affect volatility? Do the signs of the coefficients
seem correct in the equations? Can you answer the questions in the text?