STAT.1010: Exercise Sheet 2
1. a) Regress the following time series upon time and decide from the available plots in the regression procedure of SAS EG, in how far the assumptions for valid regression inference are met. b) Check independence of
observations by performing a Durbin-Watson test.
2006
2007
2008
1
103,8
105,2
108,1
2
104,1
105,3
108,9
3
104,0
105,3
109,2
4
104,3
105,5
109,8
5
104,7
105,7
110,8
6
104,7
105,7
111,4
7
105,2
106,2
8
105,0
106,1
9
105,4
106,4
10
105,8
106,8
11
105,5
107,2
2. Helsingin Sanomat (21.8.2004) published the following data on driving
under the inluence of alcohol. Use a contingency table and the chi2 test in
order to clarify whether the proportion of drunken driving has remained
constant under the whole period reported.
Year
2000
2001
2002
2003
2004
Police controls
49 099
50 494
54 507
48 437
57 785
Evidence of drunken driving
83
61
87
92
87
3. Below are stock price changes of the sectors trade, industry, and high-tech
of shares traded at the Helsinki stock exchange on September 10th and
12th, 2001, some of which were exceptionally large. The table below displays how many shares in the respective sectors had higher/ lower returns
than the median of all stock returns. Apply the median test in order to
clarify, whether the impact of the September 11th terrorist attack was the
same for all sectors. Do the calculation both in SAS EG and by hand.
Return (%)
> median
≤ median
Trade
13
9
Sector
Industry High-Tech
6
14
16
8
4. Below is a comparison of the returns of the same stocks at the Helsinki
stock exchange on the day before and after the terrorist attack of September 11th, 2001. Test whether the events of September 11th had an impact
upon the returns by applying McNemar’s test both in SAS and by hand.
Sept. 10th Price Change
≤0
>0
Total
September 12th Price Change
≤0
>0
6
9
3
11
9
20
Total
15
14
29
12
105,1
107,8