Fitting Autoregressive Model Using Acc 73002 Tum

Fitting Autoregressive Model Using Acc 73002 Tum

Fitting Autoregressive Model Using Acc 73002 Tum

Instructions:

You are hired as a data analyst to prepare a short report (1500 words) that examines the

annual dividend returns for Coca

Cola shares between 2001 and 2013 using the data

contained in the spreadsheet <coke>. You have also been asked to forecast the annual

dividend return for 2014.

Your report must be structured as follows:

1. Purpose (1 marks)

In this section, the purpose of the report needs to be clearly and concisely stated.

2. Background (2 marks)

In this section, write a brief review of annual dividend returns for Coca

Cola shares.

3. Method (2 marks)

In this section, the data source and empirical approach used to examine annual dividend

returns needs to be detailed.

4. Results (40 marks)

In this section, you need to present and summarize the results from your statistical analysis.

In particular, the results section must:

a. Describe and plot the data.

(4 marks)

.

b. Calculate and explain the linear trend forecasting equation (4 marks)

.

c. Calculate and explain the quadratic trend forecasting equation (4 marks)

.

d. Calculate and explain the exponential trend forecasting equation (use LOG10 to

transform the dependent variable) (4 marks)

.

e. Find and explain the best

fitting autoregressive model using α

=

0.05 (i.e.

, estimate a

1

lag model, 2

lag model, and 3

lag model and select the best fitting model)

(6 marks)

.

f

. Perform a residual analysis for each model (b) to (e) and create a combined residual

plot.

(6 marks)

.

g

. Examine the standard error for the estimate (SYX) and R

2

for each corresponding

model in (f)

. Present these results in a single table.

(4 marks)

.

h. Based on your results in (f) and (g), together with a consideration of parsimony,

which model would you select for purposes of forecasting? Discuss.

(4 marks)

.

i. Using the selected model in (h), forecast the annual dividend return for 2014.

(4 marks)

.

5 Discussion & Conclusion (5 marks)

In this section, provide a brief overview of the results. Also, provide a brief overview of the

strengths and limitations with the analysis (e.

g

.

, data, method, etc.

)? Provide brief concluding

remarks