6400 Lecture Spreadsheets

The worksheets presented here are arranged by topics covered in lectures.
Lecture topics are identified in the tabs at the bottoms of the worksheets.
It may be useful to use these worksheets in conjunction with your
lecture notes to follow the computations. Also, these worksheets may
be useful to students who were unable to attend certain lectures.
Perhaps, most students will find this collection of worksheets useful in
understanding many of the more quantitative topics discussed in the
course and provide opportunities to practice many of the computations.
In many instances, students can use these worksheets to create
additional problems which can be worked through by hand and then
checked with solutions given on the worksheets.
covered in lectures.
of the worksheets.
with your
orksheets may
n lectures.
heets useful in
scussed in the
he computations.
o create
and and then
Computing Geometric Mean Return on Investment: Real Price Data
On this worksheet, we make use of use historical stock price quotes provided by Yahoo (See http://webpage.pace.edu/jteall/sp
Two years of monthly price quote for GM and PCS are downloaded in spreadsheet format from Yahoo. Then monthly returns a
is added to each of the returns in column H. Geometric mean returns are computed in Column J.
GM Stock: October, 2000 to September 2002, Monthly Returns

Date
Open
High
Low
Close
Volume
3-Sep-02
47.5
47.51
38.11
38.9 5414895
1-Aug-02
46.4
50.05
41.08
47.86 4259440
1-Jul-02
53.3
54.08
40.5
46.55 6527578
3-Jun-02
62.5
63.1
50
53.45 5193919
1-May-02
64
67.8
62.15
62.15 3616043
1-Apr-02
59.56
65.94
58.32
63.68 3917782
1-Mar-02
52.81
61.55
52.81
60.01 5743195
1-Feb-02
50.35
55.39
47.24
52.59 5055470
2-Jan-02
47.9
50.27
47.09
50.25 3096881
3-Dec-01
47.66
52.3
46.01
47.76 2938333
1-Nov-01
40.13
49.3
39.52
48.84 2470372
1-Oct-01
41.28
44.51
39.35
40.13 2847620
4-Sep-01
52.47
54.32
38.04
41.66 3648700
1-Aug-01
61.62
62.63
51.96
53.17 2548600
2-Jul-01
61.67
65.33
59.14
61.28 2346600
1-Jun-01
54.83
62.52
54.63
62 2721754
1-May-01
52.48
56.17
51.66
54.83 2021760
2-Apr-01
49.58
55.25
47.94
52.34 2472395
1-Mar-01
50.93
57.01
47.99
49.51 3011243
1-Feb-01
50.91
55.13
48.51
50.92 2980480
2-Jan-01
48.21
54.06
48.09
50.82 3771677
1-Dec-00
46.85
51.7
46.08
48.21 2857576
1-Nov-00
58.27
59.8
45.84
46.85 2963281
2-Oct-00
61.32
64.02
51.12
58.27 2658817
r(t)
-0.18721
0.028142
-0.12909
-0.13998
-0.02403
0.061156
0.141091
0.046567
0.052136
-0.02211
0.217045
-0.03673
-0.21648
-0.13234
-0.01161
0.130768
0.047574
0.05716
-0.02769
0.001968
0.054138
0.029029
-0.19598
N/A
1+r(t)
0.812787
1.028142
0.870907
0.860016
0.975974
1.061156
1.141091
1.046567
1.052136
0.977887
1.217045
0.963274
0.783525
0.867657
0.988387
1.130768
1.047574
1.05716
0.97231
1.001968
1.054138
1.029029
0.804016
#VALUE!
PI(1+r(t))
ROG(g)
ROI(g)/Yr
ROG(g)
ROI(g)/Yr
PCS Stock: October, 2000 to September 2002, Monthly Returns

Date
Open
High
Low
Close
Volume
r(t)
1+r(t)
3-Sep-02
3.82
3.93
1.75
1.96 11035885 -0.50505 0.494949
1-Aug-02
3.8
5.14
3.15
3.96 7020356 -0.03415 0.965854
1-Jul-02
4.52
6.93
2.36
4.1 11209278 -0.08277 0.917226
3-Jun-02
10.13
10.44
3.5
4.47 15463276 -0.57184 0.428161
1-May-02
11.25
12
9.34
10.44 7701569 -0.06869 0.931311
1-Apr-02
10.25
13.45
9
11.21 10386886 0.089407 1.089407
1-Mar-02
10
12.2
8.12
10.29 12611519 0.112432 1.112432
1-Feb-02
16.09
16.7
7.22
9.25 21943820 -0.43529 0.564713
2-Jan-02
24.45
25.2
15.01
16.38 15091195 -0.32896 0.671036
3-Dec-01
25
26.37
22.3
24.41 6145352 -0.02164 0.978357
1-Nov-01
22.5
27.5
22.25
24.95 5252709 0.118834 1.118834
1-Oct-01
26.4
29.05
21.5
22.3 10553704 -0.15177 0.848231
4-Sep-01
25.05
27.1
22.25
26.29 10464787 0.052442 1.052442
1-Aug-01
25.98
26.5
22.43
24.98 11239554 -0.03627 0.963735
2-Jul-01
24.15
27
22.7
25.92 6663486 0.073292 1.073292
1-Jun-01
22.03
24.16
19.21
24.15 4679895 0.097727 1.097727
1-May-01
25.63
27.5
20.25
22 5211639 -0.14163 0.858369
PI(1+r(t))
ROG(g)
ROI(g)/Yr
ROG(g)
ROI(g)/Yr
2-Apr-01
1-Mar-01
1-Feb-01
2-Jan-01
1-Dec-00
1-Nov-00
2-Oct-00
19.25
24
30.75
20.75
23.12
38.25
37
26.9
24.35
32.4
33.25
29.38
38.44
39.19
16.43
15.72
20
17.62
19.38
21.88
29
25.63
19
25.18
30.5
20.44
22.69
38.12
7444519 0.348947 1.348947

6083813 -0.24543 0.754567
5503705 -0.17443 0.825574
8484931 0.492172 1.492172
5440242 -0.09916 0.900837
7432204 -0.40477 0.595226
5709582 N/A
#VALUE!
ee http://webpage.pace.edu/jteall/spreadsheets.htm for information).

from Yahoo. Then monthly returns are computed in Column G. One
0.667582
-0.0167
-0.18294
-0.0167
-0.18294
The product of (1+r(t)) for 24 months

The geometric mean return over the 24 month period
The annualized geometric mean rate of return
0.051417
-0.11632
-0.77325
-0.11632
-0.77325

Expected Return, Variance and Standard Deviation

Stock A
i
1
2
3
R(i)
-0.2
0.1
0.4
E[R] =
P(i) R(i)P(i) R(i)-E[R(i)] (R(i)-E[R(i)])^2 (R(i)-E[R(i)])^2*P(i)

0.2
-0.04
-0.33
0.1089
0.02178
0.5
0.05
-0.03
0.0009
0.00045
0.3
0.12
0.27
0.0729
0.02187
0.13
Variance =
0.0441
Standard Deviation =
0.21
Historical Variances for Stocks A and B

t
1
2
3
4
5
6
7
8
R(A,t)
R(B,t)
0.4
0.2
0.9
0.1
-0.8
0.12
0.9
0.05
0.9
0.02
0.9
0.09
-0.2
0.11
-0.1
0.12
0.3625 0.1013
Average Returns
0.00017578
0.03611328
0.16892578
0.03611328
0.03611328
0.03611328
0.03955078
0.02673828
0.37984375
0.61631465
0.001218945
1.95313E-07
4.39453E-05
0.00032832
0.000825195
1.58203E-05
9.57031E-06
4.39453E-05
0.002485938
0.049859177
Squared
Differences
for A and B
divided by eight
Variances of A and B
Standard Deviations of A and B
Computing Variances and Standard Deviations of Returns: Real Price Data

Returns are computed in the "Geometric Returns" Worksheet for GM and PCS from which to compute variances and standard

Date
Close
r(t)
1+r(t)
(Ri-E[Ri])^2 / 23
3-Sep-02
38.9 -0.18721 0.812787
0.001347717
1-Aug-02
47.86 0.028142 1.028142
6.71292E-05
1-Jul-02
46.55 -0.12909 0.870907
0.000604786
3-Jun-02
53.45 -0.13998 0.860016
0.000721642
1-May-02
62.15 -0.02403 0.975974
7.20692E-06
1-Apr-02
63.68 0.061156 1.061156
0.000227324
1-Mar-02
60.01 0.141091 1.141091
0.001007737
1-Feb-02
52.59 0.046567 1.046567
0.000144846
2-Jan-02
50.25 0.052136 1.052136
0.000174143
3-Dec-01
47.76 -0.02211 0.977887
5.224E-06
1-Nov-01
48.84 0.217045 1.217045
0.002264066
1-Oct-01
40.13 -0.03673 0.963274
2.84366E-05
4-Sep-01
41.66 -0.21648 0.783525
0.001832951
1-Aug-01
53.17 -0.13234 0.867657
0.000638584
2-Jul-01
61.28 -0.01161 0.988387
9.25098E-09
1-Jun-01
62 0.130768 1.130768
0.000875701
1-May-01
54.83 0.047574 1.047574
0.000149941
2-Apr-01
52.34 0.05716 1.05716
0.000202891
1-Mar-01
49.51 -0.02769 0.97231
1.18928E-05
1-Feb-01
50.92 0.001968 1.001968
7.48337E-06
2-Jan-01
50.82 0.054138 1.054138
0.000185337
1-Dec-00
48.21 0.029029 1.029029
7.01943E-05
1-Nov-00
46.85 -0.19598 0.804016
0.001485351
2-Oct-00
58.27 N/A
#VALUE!
E[R] =
-0.01115 VAR =
0.012060596
PI(1+r(t))
ROG(g)
ROI(g)/Yr
ROG(g)
ROI(g)/Yr
VAR(GM)
StD(GM)
StD(GM)
0.667582
-0.0167
-0.18294
-0.0167
-0.18294
0.012061
0.109821
0.38043

The geometric mean return over the 24
The annualized geometric mean rate of
The monthly return variance
The monthly return standard deviation
The annual return standard deviation

Date
Close
r(t)
1+r(t)
(Ri-E[Ri])^2 / 23
3-Sep-02
1.96 -0.50505 0.494949
0.007732515
1-Aug-02
3.96 -0.03415 0.965854
0.000105177
1-Jul-02
4.1 -0.08277 0.917226
1.34576E-08
3-Jun-02
4.47 -0.57184 0.428161
0.010375684
1-May-02
10.44 -0.06869 0.931311
9.32088E-06
1-Apr-02
11.21 0.089407 1.089407
0.001297316
1-Mar-02
10.29 0.112432 1.112432
0.001666221
1-Feb-02
9.25 -0.43529 0.564713
0.0053858
2-Jan-02
16.38 -0.32896 0.671036
0.002623289
3-Dec-01
24.41 -0.02164 0.978357
0.000165448
1-Nov-01
24.95 0.118834 1.118834
0.001776977
1-Oct-01
22.3 -0.15177 0.848231
0.000203644
4-Sep-01
26.29 0.052442 1.052442
0.000801484
1-Aug-01
24.98 -0.03627 0.963735
9.63092E-05
2-Jul-01
25.92 0.073292 1.073292
0.001066546
1-Jun-01
24.15 0.097727 1.097727
0.001425299
1-May-01
22 -0.14163 0.858369
0.00014778
2-Apr-01
25.63 0.348947 1.348947
0.008124525
1-Mar-01
19 -0.24543 0.754567
0.001142488
PI(1+r(t))
0.051417 The product of (1+r(t)) for 24 months
ROG(g)
-0.11632 The geometric mean return over the 24
ROI(g)/Yr
-0.77325 The annualized geometric mean rate of
ROG(g)
ROI(g)/Yr
VAR(PCS) 0.06341 The monthly return variance
StD(PCS) 0.251814 The monthly return standard deviation
StD(PCS) 0.872308 The annual return standard deviation
1-Feb-01
2-Jan-01
1-Dec-00
1-Nov-00
2-Oct-00
25.18 -0.17443 0.825574

30.5 0.492172 1.492172
20.44 -0.09916 0.900837
22.69 -0.40477 0.595226
38.12 N/A
#VALUE!
E[R] =
-0.08333 VAR =
0.000360802
0.014400141
1.08982E-05
0.004492445
0.063410124
Price Data
mpute variances and standard deviations in Column G.
uct of (1+r(t)) for 24 months

metric mean return over the 24 month period
alized geometric mean rate of return
hly return variance
hly return standard deviation
al return standard deviation

hly return variance
Returns Covariance
Stocks A and B
i
1
2
3
R(A,i)
-0.2
0.1
0.4
R(B,i)
0.5
0.4
-0.2
E[R(A)] =
0.13
E[R(B)] =
0.24
s(A) =
0.21
s(B) =
0.29052
r (A,B) = -0.90479
r2(A,B) = 0.81865
P(i) (R(A,i)-E[R(A)]) (R(B,i)-E[R(B)]) Product of Deviations and Probability

0.2
-0.33
0.26 -0.01716
0.5
-0.03
0.16
-0.0024
0.3
0.27
-0.44 -0.03564
Covariance =
-0.0552
ns and Probability
Computing Variances and Standard Deviations of Returns

Returns are computed in the "Geometric Returns" Worksheet for GM and PCS from which to compute variances and standard

Date
Close
r(t)
1+r(t)
(Ri-E[Ri])^2 / 23
3-Sep-02
38.9 -0.18721 0.812787
0.001347717
1-Aug-02
47.86 0.028142 1.028142
6.71292E-05
1-Jul-02
46.55 -0.12909 0.870907
0.000604786
3-Jun-02
53.45 -0.13998 0.860016
0.000721642
1-May-02
62.15 -0.02403 0.975974
7.20692E-06
1-Apr-02
63.68 0.061156 1.061156
0.000227324
1-Mar-02
60.01 0.141091 1.141091
0.001007737
1-Feb-02
52.59 0.046567 1.046567
0.000144846
2-Jan-02
50.25 0.052136 1.052136
0.000174143
3-Dec-01
47.76 -0.02211 0.977887
5.224E-06
1-Nov-01
48.84 0.217045 1.217045
0.002264066
1-Oct-01
40.13 -0.03673 0.963274
2.84366E-05
4-Sep-01
41.66 -0.21648 0.783525
0.001832951
1-Aug-01
53.17 -0.13234 0.867657
0.000638584
2-Jul-01
61.28 -0.01161 0.988387
9.25098E-09
1-Jun-01
62 0.130768 1.130768
0.000875701
1-May-01
54.83 0.047574 1.047574
0.000149941
2-Apr-01
52.34 0.05716 1.05716
0.000202891
1-Mar-01
49.51 -0.02769 0.97231
1.18928E-05
1-Feb-01
50.92 0.001968 1.001968
7.48337E-06
2-Jan-01
50.82 0.054138 1.054138
0.000185337
1-Dec-00
48.21 0.029029 1.029029
7.01943E-05
1-Nov-00
46.85 -0.19598 0.804016
0.001485351
2-Oct-00
58.27 N/A
#VALUE!
E[R] =
-0.01115 VAR =
0.012060596
PI(1+r(t))
ROG(g)
ROI(g)/Yr
ROG(g)
ROI(g)/Yr
VAR(GM)
StD(GM)
StD(GM)
0.667582
-0.0167
-0.18294
-0.0167
-0.18294
0.012061
0.109821
0.38043

The monthly return variance
The monthly return standard deviation
The annual return standard deviation

Date
Close
r(t)
1+r(t)
(Ri-E[Ri])^2 / 23
3-Sep-02
1.96 -0.50505 0.494949
0.007732515
1-Aug-02
3.96 -0.03415 0.965854
0.000105177
1-Jul-02
4.1 -0.08277 0.917226
1.34576E-08
3-Jun-02
4.47 -0.57184 0.428161
0.010375684
1-May-02
10.44 -0.06869 0.931311
9.32088E-06
1-Apr-02
11.21 0.089407 1.089407
0.001297316
1-Mar-02
10.29 0.112432 1.112432
0.001666221
1-Feb-02
9.25 -0.43529 0.564713
0.0053858
2-Jan-02
16.38 -0.32896 0.671036
0.002623289
3-Dec-01
24.41 -0.02164 0.978357
0.000165448
1-Nov-01
24.95 0.118834 1.118834
0.001776977
1-Oct-01
22.3 -0.15177 0.848231
0.000203644
4-Sep-01
26.29 0.052442 1.052442
0.000801484
1-Aug-01
24.98 -0.03627 0.963735
9.63092E-05
2-Jul-01
25.92 0.073292 1.073292
0.001066546
1-Jun-01
24.15 0.097727 1.097727
0.001425299
1-May-01
22 -0.14163 0.858369
0.00014778
2-Apr-01
25.63 0.348947 1.348947
0.008124525
1-Mar-01
19 -0.24543 0.754567
0.001142488
PI(1+r(t))
0.051417 The product of (1+r(t)) for 24 months
ROG(g)
ROI(g)/Yr
ROG(g)
ROI(g)/Yr
VAR(PCS) 0.06341 The monthly return variance
StD(PCS) 0.251814 The monthly return standard deviation
StD(PCS) 0.872308 The annual return standard deviation
1-Feb-01
2-Jan-01
1-Dec-00
1-Nov-00
2-Oct-00
25.18 -0.17443 0.825574

30.5 0.492172 1.492172
20.44 -0.09916 0.900837
22.69 -0.40477 0.595226
38.12 N/A
#VALUE!
E[R] =
-0.08333 VAR =
0.000360802
0.014400141
1.08982E-05
0.004492445
0.063410124
mpute variances and standard deviations in Column G.

hly return variance

hly return variance
Computing Return Covariances: Real Price Data
Returns are computed in the "Geometric Returns" Worksheet for GM and PCS from which to compute covariances and Corela
GM And PCS Stock: October 2000 to September 2002, Monthly Returns

Date
Close P(GM)
3-Sep-02
38.9
1-Aug-02
47.86
1-Jul-02
46.55
3-Jun-02
53.45
1-May-02
62.15
1-Apr-02
63.68
1-Mar-02
60.01
1-Feb-02
52.59
2-Jan-02
50.25
3-Dec-01
47.76
1-Nov-01
48.84
1-Oct-01
40.13
4-Sep-01
41.66
1-Aug-01
53.17
2-Jul-01
61.28
1-Jun-01
62
1-May-01
54.83
2-Apr-01
52.34
1-Mar-01
49.51
1-Feb-01
50.92
2-Jan-01
50.82
1-Dec-00
48.21
1-Nov-00
46.85
2-Oct-00
58.27
E[R] =
r(t)GM
(RiGM-E[RiGM]) Close P(PCS)
-0.18721
-0.176061073
1.96
0.028142
0.039293413
3.96
-0.12909
-0.11794098
4.1
-0.13998
-0.128832279
4.47
-0.02403
-0.012874752
10.44
0.061156
0.072308104
11.21
0.141091
0.152243093
10.29
0.046567
0.057718795
9.25
0.052136
0.063287309
16.38
-0.02211
-0.010961392
24.41
0.217045
0.228196235
24.95
-0.03673
-0.025574246
22.3
-0.21648
-0.205323826
26.29
-0.13234
-0.121191712
24.98
-0.01161
-0.000461273
25.92
0.130768
0.141919458
24.15
0.047574
0.058725188
22
0.05716
0.0683118
25.63
-0.02769
-0.016538864
19
0.001968
0.01311936
25.18
0.054138
0.065289776
30.5
0.029029
0.040180446
20.44
-0.19598
-0.184832581
22.69
N/A
38.12
-0.01115
E[R] =
r(t)PCS
(RiPCS-E[RiPCS])
-0.50505
-0.421720106
-0.03415
0.049184057
-0.08277
0.00055635
-0.57184
-0.488508682
-0.06869
0.014641728
0.089407
0.17273759
0.112432
0.195762831
-0.43529
-0.351956536
-0.32896
-0.245633141
-0.02164
0.061687112
0.118834
0.20216448
-0.15177
-0.068438334
0.052442
0.135772352
-0.03627
0.047064967
0.073292
0.156622324
0.097727
0.181057672
-0.14163
-0.058300502
0.348947
0.432277767
-0.24543
-0.162102484
-0.17443
-0.091095831
0.492172
0.57550261
-0.09916
-0.015832228
-0.40477
-0.321443998
N/A
-0.08333 COV[GM,PCS] =
VAR[GM] =
VAR[PCS] =
StD[GM] =
StD[PCS] =
Corr.Coef[GM,PCS]=
compute covariances and Corelation Coefficients in Column G.
0.074248495
0.00193261
-6.56164E-05
0.062935687
-0.000188509
0.012490328
0.029803539
-0.020314507
-0.01554546
-0.000676177
0.046133173
0.001750259
-0.027877299
-0.005703884
-7.22456E-05
0.025695607
-0.003423708
0.029529672
0.002680991
-0.001195119
0.037574437
-0.000636146
0.059413324
0.013412585 Covariance
0.012060596
0.063410124
0.109820743
0.251813668
0.485007886 Correlation Coefficient
0.23523265 r-square
Yield to Maturity Example
Enter Bond data into Column B of the Yellow Region. Revise your y estimate until you are sufficiently close to the bond's correc
Bond Details
F
1000
c
0.1
Guess for y
0.15
n
30
Initial Bond Price
1000
PV Bond
671.701
DECREASE YOUR y ESTIMATE
Note: This calculator assumes that coupon payments are made annually beginning in one year.
ufficiently close to the bond's correct yield.
2X2 Matrix Inversion: Gauss-Jordan Elimination

This worksheet provides a step-by-step example on how to invert a 2X2 matrix by hand.
Suppose that we wish to invert the following matrix one step at a time using a Gauss-Jordan elimination procedure:
1
2
3
4
First, we augment the matrix with the identity matrix (a matrix with 1's in the Principal Diagonal and zeros elsewhere):
1
2
1
0
3
4
0
1
We start in the first column and the first row. Simply perform row operations to obtain a 1 in the first row of the first column:
1
2
1
0 Row 1 * 1/A7
3
4
0
1
Now, perform row operations to obtain a zero in the second row of the first column:
1
2
1
0
0
-2
-3
1 Row 2 - A11 * Row 1
Now, perform a row operation to obtain a 1 in the second row of the second column:
1
2
1
0
0
1
1.5
-0.5 Row 2 * 1/B14
Now, perform row operations to obtain a zero in the first row of the second column:
1
0
-2
1 Row 1 - B16 * Row 2
0
1
1.5
-0.5
The last two columns represent the inverse of our original matrix. We can check our work below:
-2
1
1.5
-0.5
You may use this worksheet for any 2X2 matrix. Simply enter elements into the yellow input area A4:B5
and output will appear in the red areas just above here. The matrix will be solved step-by-step.
n elimination procedure:
onal and zeros elsewhere):
n the first row of the first column:
ut area A4:B5
Matrix Inversion: Gauss-Jordan Elimination

This worksheet provides a step-by-step example on how to invert a 3X3 matrix by hand.
Suppose that we wish to invert the following matrix one step at a time using a Gauss-Jordan elimination procedure:
5
0
8
2
4
0
4
8
4
First, we augment the matrix with the identity matrix (a matrix with 1's in the Principal Diagonal and zeros elsewhere):
5
0
8
1
0
0
2
4
0
0
1
0
4
8
4
0
0
1
We start in the first column and the first row. Simply perform row operations to obtain a 1 in the first row of the first column:
1
0
1.6
0.2
0
0 Row 1 * 1/A8
2
4
0
0
1
0
4
8
4
0
0
1
Now, perform row operations to obtain a zero in the second row of the first column:
1
0
1.6
0.2
0
0
0
-4
3.2
0.4
-1
0 Row 1 * A13 - Row 2
4
8
4
0
0
1
Now, perform row operations to obtain a zero in the third row of the first column:
1
0
1.6
0.2
0
0
0
-4
3.2
0.4
-1
0
0
-8
2.4
0.8
0
-1 Row 1*A18 - Row 3
Now, perform a row operation to obtain a 1 in the second row of the second column:
1
0
1.6
0.2
0
0
0
1
-0.8
-0.1
0.25
0 Row 2 * 1/B21
0
-8
2.4
0.8
0
-1
Now, perform row operations to obtain a zero in the first row of the second column:
1
0
1.6
0.2
0
0 Row 1 - Row 2 * B24
0
1
-0.8
-0.1
0.25
0
0
-8
2.4
0.8
0
-1
Now, perform row operations to obtain a zero in the third row of the second column:
1
0
1.6
0.2
0
0
0
1
-0.8
-0.1
0.25
0
0
0
-4
0
2
-1 Row 3 - B30 * Row 2
Now, perform a row operation to obtain a 1 in the third row of the third column:
1
0
1.6
0.2
0
0
0
1
-0.8
-0.1
0.25
0
0
0
1
0
-0.5
0.25 Row 3 * 1/C34
Now, perform row operations to obtain a zero in the first row of the third column:
1
0
0
0.2
0.8
-0.4 Row 1 - C36 * Row 3
0
1
-0.8
-0.1
0.25
0
0
0
1
0
-0.5
0.25
Now, perform row operations to obtain a zero in the second row of the third column:
1
0
0
0.2
0.8
-0.4
0
1
0
-0.1
-0.15
0.2 Row 2 - $C41 * Row 3
0
0
1
0
-0.5
0.25
The last three columns represent the inverse of our original matrix. We can check our work below:
0.2
0.8
-0.4
-0.1
-0.15
0.2
0
-0.5
0.25
You may use this worksheet for any 3X3 matrix. Simply enter elements into the yellow input area A4:C6
and output will appear in the red areas just above here. The matrix will be solved step-by-step.
n elimination procedure:
onal and zeros elsewhere):
n the first row of the first column:
ut area A4:C6
Inverting Matrices and Solving Systems of Linear Equations

0.01
0
0.02
0
0.04
0.03
V
0.02
0.03
0.09
245.5 54.55 -72.73

54.55 45.45 -27.27
-72.73 -27.27 36.36
V-1
Let V represent a 3X3 matrix that we wish to invert
V-1 is the inverse

of Matrix V
1 1E-16
0
1
0
0
I
Steps:
1. Enter elements of matrix to be inverted into cells A3:C5.
2. Highlight A8:C10 for location of inverse matrix.
3. Left click the "Paste Function" (fx) button on the menu bar.
4. Select "MATH & TRIG" in the Dialogue Box.
5. Select "MINVERSE" in the Dialogue Box and left click OK.
6. Enter A3:C5 as the array to invert. Do not click OK.
7. Simultaneously enter "Ctrl" "Shift" and "Enter."
8. The inverted matrix should now appear in the highlighted region.
0
0
1
We check to see if
V X V-1 = I
We check to see if
Portfolio Variance Matrices: w'Vw = s2p

Assume three securities with w(1) =.2, w(2) = .3 and w(3) = .5. Security variances are .01, .04 and .09.
Covariances are COV(1,2) = 0, COV(1,3) = .02 and COV(2,3) = .03. Find portfolio standard deviation.
Weights Vector
Variance/Covariance Matrix
0.2
0.3
0.5
w
0.01
0
0.02
0
0.04
0.03
V
0.02
0.03
0.09
These are the weights and

variance/covariance matrices
to be multiplied
First, multiply w'V
0.2
0.012
0.3
w'
0.027
w'V
0.5
0.058
0.01
0
0.02
0.2
0.3
0.5
w
0
0.04
0.03
V
0.02
0.03
0.09
0.012
0.027
w'V
Next, multiply w'V by w
0.04 Portfolio Variance
Standard deviation is the square root of variance
0.199 Portfolio Standard Deviation
0.058
root of variance
dard Deviation
Holmes and Market Risk Premiums:

Calculating Beta
0.14
0.12
Year Holmes Co.

Market T-Bill
2006
12%
10%
6%
2007
18%
14%
6%
2008
7%
6%
6%
2009
3%
2%
6%
2010
10%
8%
6%
0.1
0.08
0.06
0.04
0.02
rH-rf
0.06
0.12
0.01
-0.03
0.04
rM-rf
0.04
0.08
0
-0.04
0.02
-0.04
0.006
X Variable
1 Residual Plot
0.004
Residuals
0.0032 0.00252
H,M =
b1 =
H,M =
.04
-0.02
Summary Output: Excel Functions
H2 =
M2 =
.02
-.04
0.002
0.0025
1.25
0.996
-0.06
0.0016
0.002
0.5
-0.04
0
0
0
-0.02
-0.002 0
0.02
0.01
-0.004
0.02
0.002
0.04
0.03
X Variable 1
-0.006
1.25
0.996
2H,M = 0.99206 0.99206

b0 =
0.015
0.015
Summary Output with Matrix Mathematics
0.04
0.08
0 -0.04
0.02
0.04
0.08
1
1
1
0
-0.04
0.02
X
0.06
0.25
-2.5
-2.5
125
1
0.04
1
0.08
(XTX)-1
1
0
1
-0.04
1
0.02
XT
0.15
0.05
0.25
0.35
2.5
7.5
-2.5
-7.5 4E-16
(XTX)-1XT
0.2
0.06
0.015
0.12
0.01
-0.03
0.04
y
1.25
=
SUMMARY OUTPU
Regression Stat
Multiple R
R Square
Standard Error
Observations
ANOVA
Regression
Residual
Total
-0.03
0.01
0.04
0.06
0.12
SUMMARY OUTPUT: Excel Spreadsheet Regression

Regression Statistics
Multiple R
0.996023841
R Square
0.992063492
Adjusted R Square
0.989417989
Standard Error
0.005773503
Observations
ANOVA
.08
df
0.0125
0.0125
Residual
1E-04
3.33E-05
Total
0.0126
Coefficients
0.03
X Variable 1
0.1
0.04
Intercept
0.08
MS
Regression
Residual Plot
0.06
SS
Standard Error
t Stat
375
P-value
0.015
0.002886751 5.196152 0.013847
1.25
0.064549722 19.36492 0.000301
RESIDUAL OUTPUT
0.05
Observation
0.1
0.1
0.01
XTX
Predicted Y
Residuals
Standard Residuals
0.065
-0.005
-1
0.115
0.005
0.015
-0.005
-1
4
5
-0.035
0.04
0.005
-6.939E-18
1
-1E-15
xi
xi
xi2
0.15
2.5
0.05
7.5
0.25
-2.5
0.35
-7.5
0.2
4.44E-16
(XTX)-1XT
= b0
= b1
SUMMARY OUTPUT
Multiple R
0.996024
R Square
0.992063
Adjusted R Square
0.989418
Standard Error 0.005774
Observations
5
ANOVA
df
1
3
4
MS
0.0125
0.0125
1E-04 3.33333E-05
0.0126
Coefficients
0.015
1.25
Standard Error
t Stat
0.002886751 5.196152423
0.064549722 19.36491673
Regression
Residual
Total
Intercept
X Variable 1
SS
RESIDUAL OUTPUT
Observation Predicted Y
1
0.065
2
0.115
3
0.015
4
-0.035
5
0.04
Residuals
-0.005
0.005
-0.005
0.005
-6.93889E-18
Significance F
375 0.000301
P-value
Lower 95%Upper 95%
0.013846833 0.005813 0.024187
0.000300795 1.044574 1.455426
Significance F
0.000300795
Lower 95%
Upper 95%Lower 95.0%

Upper 95.0%
0.005813069 0.024187 0.005813 0.024187

1.044573974 1.455426 1.044574 1.455426
Lower 95.0% Upper 95.0%

0.005813069 0.024187
1.044573974 1.455426
Jensen's Alpha Illustration: Simple OLS

Rp-rf Rm-rf
0.11
0.09
0.02
0.13
0.01
0.11
0.22
0.21
0.08
-0.12
0.06
0.16
0.15
-0.07
-0.01
0.22
0.15
0.13
-0.11
0.13
0.02
0.01
0.03
0.08
-0.14
0.06
0.09
0.13
-0.01
-0.15
0.02
0.11
0.09
-0.11
-0.13
0.15
0.04
0.03
-0.18
0.07
SUMMARY OUTPUT
Multiple R
R Square
Adjusted R Square
Standard Error
Observations
0.930122286
0.865127468
0.857634549
0.038425474
20
ANOVA
df
Regression
Residual
Total
SS
1
18
19
Coefficients
Intercept
X Variable 1
0.073509121
0.951512255
MS
0.170477693 0.170477693 115.4593

0.026577307 0.001476517
0.197055
Standard Error
t Stat
0.00864236 8.505677269
0.088552299 10.74520108
P-value
1.01E-07
2.92E-09
Significance F
2.92226E-09
Lower 95%

Upper 95.0%
0.055352198 0.091666 0.055352 0.091666

0.765470779 1.137554 0.765471 1.137554
Back Test for Mean Reversion or Momentum Evidence

Date
t Pricet
2/1/2007 1
49
2/2/2007 2
50
2/3/2007 3
51
2/4/2007 4
52
2/5/2007 5
55
2/6/2007 6
57
2/7/2007 7
58
2/8/2007 8
59
2/9/2007 9
58
2/10/2007 10
55
2/11/2007 11
53
2/12/2007 12
52
Returnt
Returnt-1
0.020408163
0.02
0.019607843
0.057692308
0.036363636
0.01754386
0.017241379
-0.016949153
-0.051724138
-0.036363636
-0.018867925
0.020408163
0.02
0.019607843
0.057692308
0.036363636
0.01754386
0.017241379
-0.016949153
-0.051724138
-0.036363636
Test for Significance of Momentum Coefficient

t Returnt Returnt-1
3
4
5
se(b)=
6
0.23679 7
8
t=
9
3.2593291 10
11
12
0.02
0.01961
0.05769
0.03636
0.01754
0.01724
-0.0169
-0.0517
-0.0364
-0.0189
0.020408163
0.02
0.019607843
0.057692308
0.036363636
0.01754386
0.017241379
-0.016949153
-0.051724138
-0.036363636
r = .002
E[Rt]
,i
0.013735899
0.013420889
0.013118232
0.042510901
0.026049948
0.011525299
0.011291852
-0.015095574
-0.041934067
-0.030079203
0.00626
0.00619
0.04457
-0.0061
-0.0085
0.00572
-0.0282
-0.0366
0.00557
0.01121
SSR=
0.000775 = COV(rt, rt-1)

0.001004 = VAR( rt-1)
0.771776 = b
Evidence for Momentum
-0.00201 = a
r = .0020142 .7717758 rt 1
, i2
3.92E-05
3.83E-05
0.001987
3.78E-05
SSE
7.24E-05
n2
3.27E-05 se(b) =
=
2
(
r
r
)
0.000798
t
t
0.001342
3.1E-05
0.000126 Significant at .025 level
0.004503
.000562888
= .056069 = .23679
.01003
69 = .23679
Stock Y against the Market and Industry

On this sheet, we use matrices to compute regression coefficients b0, b1 and b2 for our stock return illustration.
Original Data
Year
Stock Y
Market
2000
0.15
2001
2002
Industry
0.1
0.4
0.25
0.1
-0.02
0.5
0.25
0.5
2003
0.35
0.25
0.5
2004
-0.18
-0.03
-0.4
2005
-0.3
0.08
-0.5
2006
0.4
0.3
0.6
2007
-0.17
-0.05
-0.23
2008
-0.35
-0.25
-0.4
2009
0.35
0.15
0.65
1
-0.03
-0.4
1
0.08
-0.5
1
0.3
0.6
1
-0.05
-0.23
1
-0.25
-0.4
1
0.15
0.65
1
0.08
-0.5
1
0.3
0.6
1
-0.05
-0.23
1
-0.25
-0.4
1
0.15
0.65
0.1
X
1
0.1
0.4
1
0.1
-0.02
1
0.25
0.5
1
0.25
0.5
XT
0.143411 -0.6315 0.122029

-0.6315 10.72305 -3.03254
0.122029 -3.03254 1.37181
(XTX)-1
1
0.1
0.4
1
0.1
-0.02
1
0.25
0.5
1
0.25
0.5
1
-0.03
-0.4
XT
1
1
1
1
1
1
1
1
1
1
0.1
0.4
0.1
-0.02
0.25
0.5
0.25
0.5
-0.03
-0.4
0.08
-0.5
0.3
0.6
-0.05
-0.23
-0.25
-0.4
0.15
0.65
10
0.9
1.1
0.9
0.3298
0.649
1.1
0.649
2.0658
XTX
-0.00928 = b0
0.666086 = b1
0.15
0.25
0.5
0.35
-0.18
-0.3
0.4
-0.17
-0.35
0.35
y
1
0.5024
1.3486
Xty
0.448505 = b2
b
On this sheet, we use the Excel Add-in regression function to compute regression coefficients b0, b1 and b2 for our stock return
Original Data
Year
Stock Y
Market
Industry
2000
0.15
0.1
0.4
2001
0.25
0.1
-0.02
2002
0.5
0.25
0.5
2003
0.35
0.25
0.5
2004
-0.18
-0.03
-0.4
2005
-0.3
0.08
-0.5
2006
0.4
0.3
0.6
2007
-0.17
-0.05
-0.23
2008
-0.35
-0.25
-0.4
2009
0.35
0.15
0.65
SS
0.830212274
0.083587726
0.9138
MS
0.415106137
0.011941104
SUMMARY OUTPUT
Multiple R
0.953167
R Square
0.90852733
Adjusted R Square
0.882392281
Standard Error
0.109275357
Observations
10
ANOVA
df
Regression
Residual
Total
2
7
9
F
Significance F
34.7627946 0.000231483
Coefficients
Standard Error
t Stat
P-value
-0.009283302
0.041382246 -0.224330555 0.828907356
0.666086037
0.357833902 1.861439158 0.104989409
0.44850508
0.127987984 3.504274896 0.009935665
Intercept
X Variable 1
X Variable 2
RESIDUAL OUTPUT
Observation
1
2
3
Predicted Y
0.236727334
0.0483552
0.381490747
Residuals
-0.086727334
0.2016448
0.118509253
Lower 95%
-0.107136764
-0.180056685
0.145861589
4
5
6
7
8
9
10
0.381490747
-0.208667915
-0.180248959
0.459645557
-0.145743772
-0.355206843
0.382157905
-0.031490747
0.028667915
-0.119751041
-0.059645557
-0.024256228
0.005206843
-0.032157905
s b0, b1 and b2 for our stock return illustration.
Upper 95% Lower 95.0%

0.088570159 -0.107136764
1.512228759 -0.180056685
0.751148571 0.145861589
Upper 95.0%
0.088570159
1.512228759
0.751148571
On this sheet, we conduct simple calculations to verify regression coefficients b0, b1 and b2 and other outputs for our stock retu
Original Data
Year
Stock Y
Market
2000
0.15
2001
2002
Industry
0.1
0.4
0.25
0.1
-0.02
0.5
0.25
0.5
2003
0.35
0.25
0.5
2004
-0.18
-0.03
-0.4
2005
-0.3
0.08
-0.5
2006
0.4
0.3
0.6
2007
-0.17
-0.05
-0.23
2008
-0.35
-0.25
-0.4
2009
0.35
0.15
0.65
y=
0.1
0.3298
SUM (Rm)2
SUMMARY OUTPUT
Multiple R
0.953167
R Square
0.90852733
Adjusted R Square
0.88239228
Standard Error
0.10927536
Observations
10
0.953167
0.90852733
0.882392281
0.109275357
= Multiple r
= r-square
= adjusted r-square
= Standard Error
ANOVA
df
Regression
Residual
Total
2
7
9
SS
MS
F
Significance F
0.830212274 0.415106 34.7627946 0.0002315
0.083587726 0.011941 34.7627946 = F
0.9138
0.9138 = SS
Coefficients Standard Error t Stat

P-value
Lower 95%
-0.0092833 0.041382246 -0.22433 0.828907356 -0.1071368
0.66608604 0.357833902 1.861439 0.104989409 -0.1800567
0.44850508 0.127987984 3.504275 0.009935665 0.1458616
T-Dist =
0.828907356 0.5887499
T-Dist =
0.104989409 0.0313411
T-Dist =
0.009935665 0.0002289
Intercept
X Variable 1
X Variable 2
Upper 95%
0.0885702
1.5122288
0.7511486
p-Value (Normal Distribution)
RESIDUAL OUTPUT
Observation
1
2
Predicted Y
Residuals
0.23672733 -0.086727334
0.0483552
0.2016448
Squared Residuals
0.00752163
0.040660625
-0.086727
3
4
5
6
7
8
9
10
0.38149075
0.38149075
-0.20866792
-0.18024896
0.45964556
-0.14574377
-0.35520684
0.38215791
0.118509253
-0.031490747
0.028667915
-0.119751041
-0.059645557
-0.024256228
0.005206843
-0.032157905
0.009287525
0.083587726
0.014044443
0.000991667
0.000821849
0.014340312
0.003557592
0.000588365
2.71112E-05
0.001034131
0.083587726
0.0119411 34.762795
130.09091
119.25
110.07692
102.21429
95.4
89.4375
84.176471
and other outputs for our stock return illustration.
yi - y
0.05
0.15
0.4
0.25
-0.28
-0.4
0.3
-0.27
-0.45
0.25
0
(yi - y ) 2
0.0025
0.0225
0.16
0.0625
0.0784
0.16
0.09
0.0729
0.2025
0.0625
0.9138 = SS
0.4569 = SS/m
r(y,m) =
r(y,I) =
r(m,I) =
0.864904
0.929112
0.790679
R-square = 0.908527
0.15
0.1
0.4
0.25
0.1
-0.02
0.34756
0.654304
0.0119411

-0.10713676 0.0885702
-0.18005669 1.5122288
0.145861589 0.7511486
0.3108
0.5
0.25
0.5
0.35
0.25
0.5
=F
96.36363636
112.72727 41.73913
42.12
-0.18
-0.03
-0.4
-0.3
0.08
-0.5
0.4
0.3
0.6
-0.17
-0.05
-0.23
-0.35
-0.25
-0.4
0.35
0.15
0.65

On this sheet, we use matrices to compute regression coefficients b0, b1 and b2 for our stock return illustration.
Original Data
Year
Stock Y
Market
2000
0.15
2001
2002
Industry
0.1
0.4
0.25
0.1
-0.02
0.5
0.25
0.5
2003
0.35
0.25
0.5
2004
-0.18
-0.03
-0.4
2005
-0.3
0.08
-0.5
2006
0.4
0.3
0.6
2007
-0.17
-0.05
-0.23
2008
-0.35
-0.25
-0.4
2009
0.35
0.15
0.65
1
-0.03
-0.4
1
0.08
-0.5
1
0.3
0.6
1
-0.05
-0.23
1
-0.25
-0.4
1
0.15
0.65
1
0.08
-0.5
1
0.3
0.6
1
-0.05
-0.23
1
-0.25
-0.4
1
0.15
0.65
0.1
X
1
0.1
0.4
1
0.1
-0.02
1
0.25
0.5
1
0.25
0.5
XT
0.143411 -0.6315 0.122029

-0.6315 10.72305 -3.03254
0.122029 -3.03254 1.37181
(XTX)-1
1
0.1
0.4
1
0.1
-0.02
1
0.25
0.5
1
0.25
0.5
1
-0.03
-0.4
XT
0.129074 -0.77221 0.367499
0.236727
Residuals
-0.08673
-0.08673 0.201645
0.077821
0.50146 -0.20866
0.048355
0.201645
0.0498
0.0498
0.381491
0.381491
0.118509
-0.03149
0.113545 0.259828 -0.33572

0.031877 1.742618 -0.80648
0.02718 0.765898 0.035354
-0.20867
-0.18025
0.459646
0.028668
-0.11975
-0.05965
0.146919 -0.47016 -0.04186
-0.14574
-0.02426
-0.00754 0.128045
0.252474 -2.09924
0.33144
-0.35521
0.005207
0.001457 -0.03621
0.128006 -0.99419 0.558825
0.382158
-0.03216
0.046552 0.532999
0.046552 0.532999
X(XTX)-1
X(XTX)-1XTy
Predicted Values
e = y - X(XTX)-1XTy
Residuals
0.083588
eTe
= Sum of Squared Resid
0.001712 -0.00754
Est. Var.[b|X] = (1/(n-m-1))*e e(X X
1
1
1
1
1
1
1
1
1
1
0.1
0.4
0.1
-0.02
0.25
0.5
0.25
0.5
-0.03
-0.4
0.08
-0.5
0.3
0.6
-0.05
-0.23
-0.25
-0.4
0.15
0.65
10
0.9
1.1
0.9
0.3298
0.649
1.1
0.649
2.0658
XTX
-0.00928 = b0
0.666086 = b1
0.15
0.25
0.5
0.35
-0.18
-0.3
0.4
-0.17
-0.35
0.35
1
0.5024
1.3486
0.448505 = b2
b
XTy
0.118509 -0.03149 0.028668 -0.11975 -0.05965 -0.02426 0.005207 -0.03216
eT
= Sum of Squared Residuals
0.001457
0.041382 = SE(b0)
-0.22433 = t(b0)
-0.03621
0.357834 = SE(b1)
1.861439 = t(b1)
0.127988 = SE(b2)
3.504275 = t(b2)
0.016381
T
|X] = (1/(n-m-1))*e e(X X)
-1
Bond Yields: Dt Against t and t2
1
1
1
D(2.5) =
0.7999402
y(0,2.5)=
0.09339477
1
2
4
1
3
9
X
3.323076923 -2.1961538
-2.196153846 1.7173077
0.326923077 -0.2788462
(XTX)-1
1
1
1
2
1
4
1
4
14
1
5
25
1
4
14
1
5
25
0.326923077
-0.278846154
0.048076923
1
3
9
XT
SUMMARY OUTPUT
Multiple R
0.999731062
R Square
0.999462196
Adjusted R Square 0.998924391
Standard Error
0.005092511
Observations
5
ANOVA
df
Regression
Residual
SS
2 0.0963909
2 5.1867E-05
MS
F
Significance F
0.048195451 1858.41211 0.0005378
2.59337E-05
Total
4 0.09644277
Coefficients Standard Error
1.044110521 0.0092833
-0.097281394 0.00667354
-0.000154693 0.00111661
Intercept
X Variable 1
X Variable 2
t Stat
P-value
Lower 95%
112.4719606 7.9042E-05 1.0041677
-14.57718677 0.00467305 -0.1259953
-0.138538637 0.90250508 -0.0049591
RESIDUAL OUTPUT
Observation
Upper 95%
1.08405332
-0.0685675
0.00464968
Residual Maker:
1
2
3
Predicted Y
Residuals Residuals-Squared
0.946674434 -0.0032782
1.07466E-05
0.848928961 0.00524333
2.74925E-05
0.750874101 0.0004407
1.94217E-07
1
1
1
1
1
2
3
4
4
5
0.652819241 -0.0034986
0.553836221 0.00109274
1.22399E-05
1.19407E-06
5
15
53
15
55
217
53
217
919
3.3230769
-2.1961538
0.3269231
XX
1.453846154 -0.7576923
0.238461538 0.1230769
-0.323076923 0.4461538
-0.884615385 0.7692308
0.515384615 -0.5807692
0.096153846
-0.038461538
-0.076923077
-0.115384615
0.134615385
0.7923077 0.3230769
0.3230769 0.3307692
0.0461538 0.2615385
-0.2307692 0.1923077
0.0692308 -0.1076923
X(XTX)-1
1
0
0
0
0
0
1
0
0
0
0
0
1
0
0
I
0
0
0
1
0
0
0
0
0
1
Original Data
2
y0,t
Dt
1
2
3
4
5
0.06
0.082
0.1
0.114
0.125
0.943396226
0.85417229
0.751314801
0.649320683
0.554928957
1
2
3
4
5
1
4
9
14
25
1
1
1
1
1
2
3
4
1
4
9
14
25
5
15
53
15
55
217
T
XX
0.94339623
0.85417229
0.7513148
0.64932068
0.55492896
y
3.753132957
10.27761273
34.08563209
1.044110521
-0.09728139
-0.00015469
b
Xy
53
217
919

1.00416772 1.08405332
-0.12599531 -0.06856748
-0.00495907 0.00464968
Residual Maker:
1
1
1
1
4
9
14
1
2
4
1
3
9
1
4
14
X
25
1
5
25
-2.1961538 0.32692308
1.71730769 -0.27884615
-0.2788462 0.04807692
T
(X X)
-1
0.04615385
0.26153846
0.32307692
0.38461538
-0.0153846
-0.23076923
0.19230769
0.38461538
0.57692308
0.07692308
0.069230769
-0.10769231
-0.01538462
0.076923077
0.976923077
X(XTX)-1XT
0.20769231
-0.3230769
-0.0461538
0.23076923
-0.0692308
-0.32307692
0.66923077
-0.26153846
-0.19230769
0.10769231
-0.04615385
-0.26153846
0.676923077
-0.38461538
0.015384615
0.230769
-0.19231
-0.38462
0.423077
-0.07692
I - X(XTX)-1XT
M = The Residual Maker
M is idempotent and symetric
-0.06923
0.107692
0.015385
-0.07692
0.023077
0.943396
0.854172
0.751315
0.649321
0.554929
y
Residuals
-0.00328
0.005243
0.000441
-0.0035
0.001093
e
Multi-Index Model: Index 1 and Index 2

On this sheet, we use matrices to compute regression coefficients b0, b1 and b2 for our 2-index model.
Original Data
Year
Return
Index 1
2001
0.15
2002
2003
Index 2
0.1
-0.2
0.25
0.1
-0.02
0.5
0.25
0.5
2004
0.35
0.25
-0.5
2005
-0.27
-0.03
-0.4
2006
-0.3
0.08
-0.5
2007
0.4
0.3
-0.2
2008
-0.28
-0.05
-0.23
2009
-0.1
-0.25
-0.34
2010
0.5
0.15
0.1
1
-0.03
-0.4
1
0.08
-0.5
1
0.3
-0.2
1
-0.05
-0.23
1
-0.25
-0.34
1
0.15
0.1
1
0.08
-0.5
1
0.3
-0.2
1
-0.05
-0.23
1
-0.25
-0.34
1
0.15
0.1
0.12
X
1
0.1
-0.2
1
0.1
-0.02
1
0.25
0.5
1
0.25
-0.5
0.208756 -0.57114 0.320413

-0.57114 4.594739 -0.88051
0.320413 -0.88051 1.347301
T
(X X)
1
0.1
-0.2
-1
1
0.1
-0.02
1
0.25
0.5
1
0.25
-0.5
1
-0.03
-0.4
XT
0.1
0.1
0.25
0.25
0.1
-0.2
-0.03
0.08
0.3
-0.05
10
0.9
-1.79
0.9
0.3298
0.0015
-1.79
0.0015
1.1689
-0.25
0.15
0.13355 =E[R(i)]
0.690847
(i)2
1
1
1
1
1
1
1
1
1
1
0.1
-0.02
0.25
0.5
0.25
-0.5
-0.03
-0.4
0.08
-0.5
0.3
-0.2
-0.05
-0.23
-0.25
-0.34
0.15
0.1
XX
0.099129 = b0
1.154299 = b1
0.15
0.25
0.5
0.35
-0.27
-0.3
0.4
-0.28
-0.1
0.5
y
1.2
0.4706
0.3664
Xty
0.463778 = b2
b
0.3298
1.1689
-0.2
-0.02
0.5
-0.5
-0.4 =
-0.5
-0.2
-0.23
-0.34
0.1
=VAR[I(1)]
=VAR[I(2)]
0.0015
Annual S&P500 Returns Regressed on Changes in 10-Yr. T-Bond Rates and Presidential Party
S&P 500 returns are reflected for the year ending prior to the start of the year (e.g., the return for year 1971 was .104931009).
The variable 10-T Rate is the change in the prior year 10-year Treasury bond rate from one year earlier (e.g., the rate increased
The Dummy variable for the presidential party affiliation takes a value of 1 is the president as of the year start is a Republican (e
Annual S&P500 Returns Regressed on Changes in 10-Yr. T-Bo

DATE
1972-01-01
1973-01-01
1974-01-01
1975-01-01
1976-01-01
1977-01-01
1978-01-01
1979-01-01
1980-01-01
1981-01-01
1982-01-01
1983-01-01
1984-01-01
1985-01-01
1986-01-01
1987-01-01
1988-01-01
1989-01-01
1990-01-01
1991-01-01
S&P Return 10-T Rate D/R

0.104931009
1
0.146176186
0.51
1
-0.188260135
0.53
1
-0.245031734
0.51
1
0.334895259
0.24
1
0.071649804
-0.53
1
-0.130539499
0.75
0
0.104819945
1.14
0
0.112225454
1.7
0
0.199278629
1.77
0
-0.118045113
2.02
1
0.230179028
-4.13
1
0.153153153
1.21
1
0.03125
-0.29
1
0.213286713
-2.19
1
0.270413064
-2.11
1
-0.052930057
1.59
1
0.139321357
0.42
1
0.191205326
-0.88
1
-0.042591993
-0.12
1
1992-01-01
1993-01-01
1994-01-01
1995-01-01
1996-01-01
1997-01-01
1998-01-01
1999-01-01
2000-01-01
2001-01-01
2002-01-01
2003-01-01
2004-01-01
2005-01-01
2006-01-01
2007-01-01
2008-01-01
2009-01-01
2010-01-01
0.278318842
0.046024803
0.086758725
-0.016363982
0.320623321
0.24706227
0.257289029
0.296265155
0.14159533
-0.063103697
-0.146312976
-0.214320169
0.264198964
0.043169216
0.082376144
0.113730029
-0.031878441
-0.372204009
0.298066037
0.131979921
-1.06
-0.43
-0.85
2.03
-2.13
0.93
-1.04
-0.82
1.94
-1.5
-0.12
-0.99
0.1
0.07
0.2
0.34
-1.02
-1.22
1.21
1
1
0
0
0
0
0
0
0
0
1
1
1
1
1
1
1
1
0
SUMMARY OUTPUT
Multiple R
0.347311871
R Square
0.120625535
Standard Error
0.17044471
Observations
38
ANOVA
df
Regression
Residual
Total
Intercept
X Variable 1
X Variable 2
2
35
37
SS
0.139476326
1.016798967
1.156275293

0.154900697
0.048006201
-0.031136909
0.02118257
-0.116144017
0.060079523
Annual S&P500 Returns Regressed on Changes in 10-Yr. T-Bo

SUMMARY OUTPUT
Multiple R
0.137999705
R Square
0.019043918
Adjusted R Square -0.037010715
Standard Error
0.179889907
Observations
38
ANOVA
df
Regression
Residual
Total
Intercept
X Variable 1
X Variable 2
2
35
37
SS
0.021988135
1.132613259
1.154601393

0.114025259
0.050666466
-0.002926917
0.022356403
-0.052076156
0.063408832
and Presidential Party Affiliation; 1973 to 2010
year 1971 was .104931009).

earlier (e.g., the rate increased by .51% in 1972).
e year start is a Republican (e.g., on January 1, 1977, the president was a Republican).
on Changes in 10-Yr. T-Bond Rates and Presidential Party Affiliation; 1973 to 2010
MS
F
Significance F
0.069738163 2.400509629 0.105449
0.029051399
t Stat
P-value
Lower 95%Upper 95%Lower 95.0%
Upper 95.0%
3.226680989 0.002717375 0.057443 0.252358 0.057443 0.252358
-1.469930621 0.150513397 -0.07414 0.011866 -0.07414 0.011866
-1.933171414 0.061337043 -0.23811 0.005824 -0.23811 0.005824
on Changes in 10-Yr. T-Bond Rates and Presidential Party Affiliation; 1974 (lagged independent variables) to 2011
MS
F
Significance F
0.010994067 0.339738526 0.714278
0.032360379
t Stat
P-value
Upper 95.0%
2.250507454 0.030802901 0.011167 0.216884 0.011167 0.216884
-0.13092077 0.896587624 -0.04831 0.042459 -0.04831 0.042459
-0.821276069 0.41704832
-0.1808 0.076651
-0.1808 0.076651
t variables) to 2011
Management Compensation = f(merger, stock performance, interaction)
Firm
1
2
3
4
5
6
7
8
9
10
(000's)
Stock Merger Interaction
Compensation Return Dummy
Term
1309.057596
0.15
0
0
968.3782619
0.1
0
0
1507.801144
0.22
0
0
1764.293366
0.45
0
0
861.3526143 -0.07
0
0
3265.62936
0.18
1
0.18
1845.469454 -0.02
1
-0.02
4155.041237
0.31
1
0.31
2910.433255
0.15
1
0.15
3180.97272
0.17
1
0.17
SUMMARY OUTPUT
Multiple R 0.996832
R Square 0.993674
Adjusted R Square
0.990512
Standard Error
109.2285
Observations
10
ANOVA
df
Regression
Residual
Total
SS
3 11245146
6 71585.23
9 11316731
Coefficients
Standard Error
Intercept 964.5202 69.16621
X Variable 1 1868.567 288.0425
X Variable 2 996.8745 111.9759
X Variable 3 5157.474 545.909
SUMMARY OUTPUT
Multiple R 0.94846
R Square 0.899575
Adjusted R Square
0.870883
Standard Error
402.9317
Observations
10
ANOVA
df
Regression
Residual
Total
SS
2 10180254
7 1136478
9 11316731
Coefficients
Standard Error
Intercept 720.4253 236.6764
X Variable 1 3304.419 902.6088
X Variable 2 1828.986 255.0665
Compensation on return, merger dummy and interaction
MS
F
Significance F
3748382 314.1751 5.52E-07
11930.87
t Stat
13.94496
6.487122
8.902582
9.447497
P-value Lower 95% Upper 95%Lower 95.0%

Upper 95.0%
8.48E-06 795.2766 1133.764 795.2766 1133.764
0.000638 1163.752 2573.382 1163.752 2573.382
0.000112 722.8794 1270.87 722.8794 1270.87
8E-05 3821.683 6493.265 3821.683 6493.265
Compensation on return and merger dummy
MS
F
Significance F
5090127 31.35204 0.000321
162353.9
t Stat
Upper 95.0%
3.043926 0.018743 160.7747 1280.076 160.7747 1280.076
3.660965 0.00806 1170.089 5438.75 1170.089 5438.75
7.170624 0.000182 1225.849 2432.122 1225.849 2432.122
Price Data for Three Target Firms

Target Firm
Fleet Boston
Disney
AT&T Wireless
FBF
Date
Symbol Announcement Date

FBF
10/27/2003
DIS
2/11/2004
AWE
1/18/2004
Calendar Date
Open
10
9
8
7
6
5
4
3
2
1
0
-1
-2
-3
-4
-5
-6
-7
-8
-9
-10
High
Low
Close Volume
10-Nov-03
40.32
40.6
40.21
40.35
7-Nov-03
41
41.02
40.5
40.5
4,188,800
6,886,200
6-Nov-03
40.55
40.94
40.1
40.93
10,945,000
5-Nov-03
40.02
40.57
40
40.55
11,056,600
4-Nov-03
40.45
40.8
40.14
40.26
13,285,900
3-Nov-03
40.3
40.57
39.91
40.52
12,562,300
31-Oct-03
40
40.48
40
40.39
11,617,100
30-Oct-03
39.95
40.23
39.46
40.1
18,065,700
29-Oct-03
38.62
39.9
38.6
39.55
27,672,400
28-Oct-03
39.05
39.5
38.39
38.8
29,173,800
27-Oct-03
39.81
40.44
39
39.2
57,491,700
24-Oct-03
32.04
32.05
31.56
31.8
2,836,800
23-Oct-03
31.99
32.23
31.84
32.06
4,354,300
22-Oct-03
32.02
32.29
31.9
31.99
3,514,300
21-Oct-03
32.76
32.76
32.4
32.41
3,773,000
20-Oct-03
32.73
32.74
32.35
32.7
2,893,400
17-Oct-03
32.97
32.98
32.51
32.61
2,856,100
16-Oct-03
32.4
32.99
32.31
32.85
4,096,100
15-Oct-03
32.8
32.95
32.35
32.52
3,479,400
14-Oct-03
32.5
32.69
32.26
32.63
3,323,900
13-Oct-03
32.16
32.77
32.16
32.4
2,393,700
DIS
Adj. Close Date Calendar Date Open High Low Close Volume
39.69
26.55 26.98 26.43
26.73
11,276,200
10
26-Feb-04
39.84
26 26.39 25.91
26.3
11,904,100
9
25-Feb-04
40.26
26.39 26.43
25.8
25.96
15,608,700
8
24-Feb-04
39.89
26.55 26.75 26.02
26.75
13,472,900
7
23-Feb-04
39.6
26.99 26.99 26.39
26.55
12,971,100
6
20-Feb-04
39.86
27
27.05
26.7
27
9,837,000
5
19-Feb-04
39.73
26.8
26.86
26.56
26.71
11,572,900
4
18-Feb-04
39.45
27.4 27.51 26.49
26.9
28,275,500
3
17-Feb-04
38.9
27.6 27.75 26.85
26.92
42,695,100
2
13-Feb-04
38.17
27.95 28.41 27.61
28
57,864,600
1
12-Feb-04
38.56
27.92
28 27.27
27.6 115,014,800
0
11-Feb-04
31.28
23.85
24.3 23.75
24.08
7,287,000
-1
10-Feb-04
31.54
23.35 23.98 23.28
23.77
10,311,600
-2
9-Feb-04
31.47
23.1 23.53
22.9
23.35
10,002,400
-3
6-Feb-04
31.88
23.3 23.52 23.14
23.2
7,344,900
-4
5-Feb-04
32.17
23.06 23.72 23.05
23.19
8,963,500
-5
4-Feb-04
32.08
23.43
23.88
23.1
23.26
10,004,600
-6
3-Feb-04
32.31
23.8 24.03
23.6
23.8
9,242,300
-7
2-Feb-04
31.99
23.72 24.18
23.7
24
17,033,000
-8
30-Jan-04
32.1
23.8 24.65 22.98
24.45
15,418,200
-9
29-Jan-04
31.87
24.07 24.13 23.51
23.67
7,306,500
-10
28-Jan-04
AWE
Adj. Close Date Calendar Date
Open High
26.73
11.09
10
3-Feb-04
26.3
11.12
9
2-Feb-04
25.96
8 30-Jan-04 11.05
26.75
7 29-Jan-04 11.18
26.55
6 28-Jan-04 11.17
27
5 27-Jan-04 10.83
26.71
4 26-Jan-04 10.85
26.9
3 23-Jan-04 10.73
26.92
2 22-Jan-04 10.86
28
1 21-Jan-04 10.61
27.6
0 20-Jan-04 10.43
24.08
9.93
-1 16-Jan-04
23.77
9.89
-2 15-Jan-04
23.35
9.45
-3 14-Jan-04
23.2
8.23
-4 13-Jan-04
23.19
8.16
-5 12-Jan-04
23.26
8.19
-6
9-Jan-04
23.8
8.25
-7
8-Jan-04
24
8.47
-8
7-Jan-04
24.45
7.98
-9
6-Jan-04
23.67
8
-10
5-Jan-04
Low
Close
Volume
Adj. Close
11.18
11.03
11.08
14,936,800
11.08
11.22
10.94
11.16
15,673,900
11.16
11.23
11
11.05
28,907,200
11.05
11.22
10.91
11.03
25,697,400
11.03
11.42
11
11.02
31,273,600
11.02
11.3
10.83
11.17
39,559,300
11.17
10.95
10.81
10.93
24,564,500
10.93
10.73
10.38
10.61
33,173,600
10.61
10.88
10.55
10.56
48,225,200
10.56
11
10.58
10.99
47,392,700
10.99
10.75
10.25
10.39
53,621,200
10.39
10.05
9.86
9.99
36,760,400
9.99
10.17
9.53
9.81
55,545,100
9.81
10.1
9.15
9.99
73,782,600
9.99
8.63
8.15
8.55
26,165,300
8.55
8.16
7.94
8.13
16,523,200
8.13
8.21
8.08
8.15
14,415,300
8.15
8.32
8.16
8.24
14,480,700
8.24
8.5
8.1
8.21
16,616,700
8.21
8.31
7.92
8.29
16,318,100
8.29
8.08
7.76
8.03
27,337,700
8.03
Returns Data for Three Target Firms

Target Firm
Fleet Boston
FBF
10/27/2003
Disney
DIS
2/11/2004
AT&T Wireless AWE
1/18/2004
PRICES
RETURNS
Date FBF
DIS
AWE
FBF
DIS
AWE
10
39.69
26.73
11.08 -0.004 0.016 -0.01
9
39.84
26.3
11.16 -0.01 0.013 0.01
8
40.26
25.96
11.05 0.009 -0.03 0.002
7
39.89
26.75
11.03 0.007 0.008 9E-04
6
39.6
26.55
11.02 -0.007 -0.02 -0.01
5
39.86
27
11.17 0.003 0.011 0.022
4
39.73
26.71
10.93 0.007 -0.01 0.03
3
39.45
26.9
10.61 0.014
-0 0.005
2
38.9
26.92
10.56 0.019 -0.04 -0.04
1
38.17
28
10.99 -0.01 0.014 0.058
0
38.56
27.6
10.39 0.233 0.146 0.04
-1
31.28
24.08
9.99 -0.008 0.013 0.018
-2
31.54
23.77
9.81 0.002 0.018 -0.02
-3
31.47
23.35
9.99 -0.013 0.006 0.168
-4
31.88
23.2
8.55 -0.009 4E-04 0.052
-5
32.17
23.19
8.13 0.003
-0
-0
-6
32.08
23.26
8.15 -0.007 -0.02 -0.01
-7
32.31
23.8
8.24
0.01 -0.01 0.004
-8
31.99
24
8.21 -0.003 -0.02 -0.01
-9
32.1
24.45
8.29 0.007 0.033 0.032
-10
31.87
23.67
8.03 N/A
N/A
N/A
DATA FOR THE S&P 500 (^GSPC)

Calendar Date
Open
High
Low
Close
Volume
26-Feb-04
1,140.94
1,147.22
1,138.67
1,144.91
1,620,109,952
25-Feb-04
1,140.30
1,145.18
1,138.76
1,143.67
1,607,939,968
24-Feb-04
1,137.74
1,144.52
1,134.61
1,139.09
1,994,489,984
23-Feb-04
1,146.56
1,146.66
1,137.35
1,140.99
1,820,160,000
20-Feb-04
1,147.06
1,149.68
1,139.07
1,144.11
1,850,130,048
19-Feb-04
1,157.82
1,158.54
1,146.83
1,147.06
1,975,500,032
18-Feb-04
1,156.99
1,157.32
1,149.85
1,151.82
1,674,780,032
17-Feb-04
1,153.76
1,158.99
1,145.81
1,156.99
1,667,270,016
13-Feb-04
1,153.28
1,156.75
1,143.76
1,145.81
1,624,380,032
12-Feb-04
1,154.88
1,157.76
1,151.43
1,152.11
1,697,430,016
11-Feb-04
1,144.79
1,158.76
1,142.38
1,157.76
2,102,109,952
10-Feb-04
1,139.38
1,146.87
1,138.91
1,145.54
1,554,960,000
9-Feb-04
1,143.23
1,144.45
1,139.21
1,139.81
1,507,350,016
6-Feb-04
1,128.89
1,142.77
1,128.58
1,142.76
1,772,659,968
5-Feb-04
1,128.42
1,131.10
1,124.45
1,128.59
1,941,209,984
4-Feb-04
1,128.74
1,136.03
1,124.84
1,126.52
2,146,780,032
3-Feb-04
1,134.86
1,137.31
1,131.45
1,136.03
1,740,009,984
2-Feb-04
1,132.58
1,142.47
1,127.88
1,135.26
1,948,329,984
30-Jan-04
1,133.06
1,133.20
1,127.81
1,131.13
1,309,560,064
29-Jan-04
1,130.06
1,134.19
1,122.41
1,134.11
1,631,110,016
28-Jan-04
1,146.31
1,149.08
1,126.61
1,128.48
1,483,849,984
27-Jan-04
1,154.38
1,155.14
1,144.05
1,144.05
1,379,830,016
26-Jan-04
1,141.15
1,155.37
1,141.15
1,155.37
1,180,950,016
23-Jan-04
1,145.98
1,150.21
1,136.84
1,141.55
1,322,759,936
22-Jan-04
1,147.99
1,150.43
1,143.04
1,143.94
1,390,669,952
21-Jan-04
1,137.85
1,148.91
1,134.65
1,147.62
1,404,349,952
20-Jan-04
1,140.80
1,142.80
1,135.41
1,138.77
1,444,819,968
16-Jan-04
1,134.57
1,139.83
1,133.52
1,139.83
1,580,880,000
15-Jan-04
1,128.67
1,136.35
1,123.76
1,132.05
1,451,590,016
14-Jan-04
1,122.68
1,130.74
1,122.68
1,130.52
1,218,739,968
13-Jan-04
1,127.11
1,129.04
1,115.24
1,121.22
1,292,179,968
12-Jan-04
1,123.10
1,127.85
1,121.06
1,127.23
1,162,499,968
9-Jan-04
1,128.92
1,131.30
1,120.97
1,121.86
1,386,509,952
8-Jan-04
1,126.33
1,131.92
1,124.91
1,131.92
1,571,629,952
7-Jan-04
1,122.32
1,126.33
1,116.45
1,126.33
1,376,790,016
6-Jan-04
1,120.74
1,124.44
1,118.52
1,123.67
1,239,250,048
5-Jan-04
1,112.35
1,122.22
1,112.35
1,122.22
1,306,880,000
2-Jan-04
1,112.61
1,118.70
1,105.02
1,108.48
951,875,008
31-Dec-03
1,109.54
1,112.52
1,106.26
1,111.92
817,198,976
30-Dec-03
1,108.65
1,109.75
1,106.40
1,109.64
774,324,992
29-Dec-03
1,097.53
1,109.48
1,097.53
1,109.48
813,236,992
26-Dec-03
1,094.75
1,098.46
1,094.75
1,095.89
258,871,008
24-Dec-03
1,094.56
1,096.38
1,092.75
1,094.04
392,068,000
23-Dec-03
1,091.88
1,096.79
1,091.77
1,096.02
934,430,976
22-Dec-03
1,086.58
1,092.94
1,085.82
1,092.94
984,177,984
19-Dec-03
1,090.02
1,091.03
1,084.24
1,088.67
1,445,660,032
18-Dec-03
1,076.92
1,089.45
1,076.92
1,089.18
1,257,990,016
17-Dec-03
1,074.16
1,076.52
1,071.16
1,076.48
1,094,589,952
16-Dec-03
1,068.37
1,075.91
1,068.34
1,075.13
1,245,350,016
Adj. Close Return

FBF
1,144.91 0.001084
1,143.67 0.004021
1,139.09 -0.00167
1,140.99 -0.00273
1,144.11 -0.00257
1,147.06 -0.00413
1,151.82 -0.00447
1,156.99 0.009757
1,145.81 -0.00547
1,152.11 -0.00488
1,157.76 0.010667
1,145.54 0.005027
1,139.81 -0.00258
1,142.76 0.012555
1,128.59 0.001838
1,126.52 -0.00837
1,136.03 0.000678
1,135.26 0.003651
1,131.13 -0.00263
1,134.11 0.004989
1,128.48 -0.01361
1,144.05
-0.0098
1,155.37 0.012106
1,141.55 -0.00209
1,143.94 -0.00321
1,147.62 0.007772
1,138.77 -0.00093
1,139.83 0.006872
1,132.05 0.001353
1,130.52 0.008295
1,121.22 -0.00533
1,127.23 0.004787
1,121.86 -0.00889
1,131.92 0.004963
1,126.33 0.002367
1,123.67 0.001292
1,122.22 0.012395
1,108.48 -0.00309
1,111.92 0.002055
1,109.64 0.000144
1,109.48 0.012401
1,095.89 0.001691
1,094.04 -0.00181
1,096.02 0.002818
1,092.94 0.003922
1,088.67 -0.00047
1,089.18 0.011798
1,076.48 0.001256
1,075.13 0.006638
15-Dec-03
1,080.11
1,082.82
1,068.04
1,068.04
1,248,720,000
1,068.04
12-Dec-03
1,072.14
1,074.77
1,067.83
1,074.14
948,680,000
1,074.14
11-Dec-03
1,059.55
1,073.62
1,059.55
1,071.21
1,159,949,952
1,071.21
10-Dec-03
1,061.06
1,063.01
1,053.52
1,059.05
1,187,289,984
1,059.05
9-Dec-03
1,070.74
1,071.77
1,059.26
1,060.18
1,194,749,952
1,060.18
8-Dec-03
1,061.12
1,069.53
1,061.02
1,069.30
975,227,008
1,069.30
5-Dec-03
1,066.88
1,068.26
1,060.06
1,061.50
1,041,070,016
1,061.50
4-Dec-03
1,065.28
1,070.32
1,063.15
1,069.72
1,239,149,952
1,069.72
3-Dec-03
1,067.73
1,074.21
1,064.64
1,064.73
1,266,130,048
1,064.73
2-Dec-03
1,069.01
1,071.20
1,065.31
1,066.62
1,136,499,968
1,066.62
1-Dec-03
1,061.89
1,070.43
1,061.89
1,070.12
1,143,100,032
1,070.12
28-Nov-03
1,057.92
1,060.64
1,056.79
1,058.20
396,096,992
1,058.20
26-Nov-03
1,055.76
1,058.45
1,048.52
1,058.45
912,113,024
1,058.45
25-Nov-03
1,051.73
1,058.00
1,049.29
1,053.89
1,100,470,016
1,053.89
24-Nov-03
1,038.54
1,052.08
1,038.54
1,052.08
1,089,609,984
1,052.08
21-Nov-03
1,035.77
1,037.52
1,031.24
1,035.28
1,054,049,984
1,035.28
20-Nov-03
1,040.56
1,046.46
1,033.39
1,033.65
1,103,810,048
1,033.65
19-Nov-03
1,034.74
1,043.79
1,034.19
1,042.44
1,126,210,048
1,042.44
18-Nov-03
1,045.19
1,048.73
1,034.09
1,034.15
1,190,979,968
1,034.15
17-Nov-03
1,048.68
1,048.68
1,035.23
1,043.63
1,125,090,048
1,043.63
14-Nov-03
1,057.86
1,063.65
1,048.11
1,050.35
1,162,480,000
1,050.35
13-Nov-03
1,055.98
1,059.65
1,052.97
1,058.41
1,188,499,968
1,058.41
12-Nov-03
1,046.64
1,059.14
1,046.64
1,058.56
1,076,380,032
1,058.56
11-Nov-03
1,046.93
1,048.25
1,043.46
1,046.57
931,601,984
1,046.57
10-Nov-03
1,053.16
1,053.58
1,045.58
1,047.11
1,013,539,968
1,047.11
7-Nov-03
1,059.01
1,062.39
1,052.19
1,053.21
1,244,009,984
1,053.21
6-Nov-03
1,053.14
1,058.97
1,046.89
1,058.05
1,285,590,016
1,058.05
5-Nov-03
1,052.99
1,054.58
1,044.89
1,051.81
1,180,329,984
1,051.81
4-Nov-03
1,058.01
1,058.12
1,051.64
1,053.25
1,244,120,064
1,053.25
3-Nov-03
1,051.75
1,061.44
1,051.75
1,059.02
1,185,389,952
1,059.02
31-Oct-03
1,047.79
1,053.10
1,047.79
1,050.71
1,216,169,984
1,050.71
30-Oct-03
1,050.13
1,052.89
1,043.83
1,046.94
1,384,019,968
1,046.94
29-Oct-03
1,045.91
1,049.85
1,043.34
1,048.11
1,302,809,984
1,048.11
28-Oct-03
1,032.94
1,046.79
1,032.94
1,046.79
1,468,050,048
1,046.79
27-Oct-03
1,030.50
1,037.78
1,029.17
1,031.13
1,154,749,952
1,031.13
24-Oct-03
1,030.75
1,030.75
1,018.27
1,028.91
1,312,199,936
1,028.91
23-Oct-03
1,027.98
1,035.45
1,025.83
1,033.77
1,375,010,048
1,033.77
22-Oct-03
1,043.93
1,043.93
1,028.39
1,030.36
1,287,069,952
1,030.36
21-Oct-03
1,045.20
1,049.40
1,042.53
1,046.03
1,212,889,984
1,046.03
20-Oct-03
1,039.39
1,044.69
1,036.13
1,044.68
1,007,980,032
1,044.68
17-Oct-03
1,050.02
1,051.92
1,036.56
1,039.32
1,185,810,048
1,039.32
16-Oct-03
1,045.14
1,052.98
1,043.99
1,050.07
1,212,999,936
1,050.07
15-Oct-03
1,052.95
1,053.72
1,043.10
1,046.76
1,361,500,032
1,046.76
14-Oct-03
1,044.69
1,049.49
1,040.84
1,049.48
1,043,310,016
1,049.48
13-Oct-03
1,039.60
1,048.93
1,039.60
1,045.35
908,182,976
1,045.35
-0.00568
0.002735
0.011482
-0.00107
-0.00853
0.007348
-0.00768
0.004687
-0.00177
-0.00327
0.011264
-0.00024
0.004327
0.00172
0.016227
0.001577
-0.00843
0.008016
-0.00908
-0.0064
-0.00762
-0.00014
0.011456
-0.00052
-0.00579
-0.00457
0.005933
-0.00137
-0.00545
0.007909
0.003601
-0.00112
0.001261
0.015187
0.002158
-0.0047
0.00331
-0.01498
0.001292
0.005157
-0.01024
0.003162
-0.00259
0.003951
#DIV/0!
10
9
8
7
6
5
4
3
2
1
0
-1
-2
-3
-4
-5
-6
-7
-8
-9
-10
DIS
AWE
10
9
8
7
6
5
4
3
2
1
0
-1
-2
-3
-4
-5
-6
-7
-8
-9
-10
10
9
8
7
6
5
4
3
2
1
0
-1
-2
-3
-4
-5
-6
-7
-8
-9
-10
Abnormal Returns Data for Three Target Firms

Target Firm
Fleet Boston
FBF
10/27/2003
Disney
DIS
2/11/2004
AT&T Wireless
AWE
1/18/2004
Abnormal Returns
Average
Date
FBF
DIS
AWE
Residuals (ARs)
10 0.002027 0.015266 -0.0078467
0.00314854
9 -0.00586 0.009076 0.0063035
0.003174039
8 0.003343 -0.02787 0.0044408
-0.006694588
7 0.00869 0.01026 -0.0040816
0.004956275
6 -0.00107 -0.01409 0.0001807
-0.004996184
5 -0.00464 0.01499 0.0317556
0.014036246
4 0.003497 -0.00259 0.0180539
0.006318598
3 0.015255
-0.0105 0.0068241
0.003859667
2 0.017864
-0.0331 -0.0359198
-0.017053025
1
-0.0253 0.019373 0.0499763
0.01468261
0 0.230579 0.135512
0.04097
0.135686966
-1 -0.00354 0.008014 0.0114761
0.005316123
-2 -0.00109 0.020569 -0.0193714
3.73539E-05
-3 0.00212 -0.00609 0.1601265
0.052052089
-4 -0.01031 -0.00141 0.0569922
0.015093001
-5 -0.00235 0.005362 -0.0072407
-0.001410205
-6 0.003119 -0.02337 -0.0020348
-0.007427746
-7 0.006841 -0.01198 -0.0013089
-0.002150834
-8 -0.00084 -0.01578 -0.0120174
-0.009543251
-9 0.003266 0.027964 0.0310865
0.020772193
-10 N/A
N/A
N/A
N/A
Residual
s
0.0116
0.00794
0.01834
0.00787
0.0079
0.01821
0.01061
0.01313
0.03027
0.03786
0.0948
0.00786
0.01999
0.09369
0.03656
0.00635
0.01404
0.00944
0.00777
0.01524
N/A
Normal
Deviate
0.2715
0.39957
-0.3649
0.63007
-0.6321
0.77059
0.59555
0.29393
-0.5633
0.38784
1.43123
0.67597
0.00187
0.55561
0.41285
-0.2219
-0.5289
-0.2278
-1.2279
1.36292
N/A
CAR
0.229858
0.226709
0.223535
0.23023
0.225274
0.23027
0.216234
0.209915
0.206055
0.223108
0.208426
0.072739
0.067423
0.067385
0.015333
0.00024
0.00165
0.009078
0.011229
0.020772
N/A
CAR
FBF
0.241609
0.239582
0.24544
0.242097
0.233407
0.234481
0.239118
0.235621
0.220366
0.202502
0.227803
-0.00278
0.000767
0.001852
-0.00027
0.010039
0.012391
0.009272
0.002431
0.003266
N/A
CAR
DIS
0.1196
0.104334
0.095258
0.123125
0.112865
0.12696
0.11197
0.114565
0.125065
0.158168
0.138796
0.003284
-0.00473
-0.0253
-0.01921
-0.0178
-0.02317
0.000202
0.012187
0.027964
N/A
CAR
AWE
0.328365
0.336212
0.329908
0.325467
0.329549
0.329368
0.297613
0.279559
0.272735
0.308654
0.258678
0.217708
0.206232
0.225603
0.065477
0.008485
0.015725
0.01776
0.019069
0.031086
N/A
CAR
0.229858
0.226709
0.223535
0.23023
0.225274
0.23027
0.216234
0.209915
0.206055
0.223108
0.208426
0.072739
0.067423
0.067385
0.015333
0.00024
0.00165
0.009078
0.011229
0.020772
N/A
CAR
s
0.104878
0.116474
0.118849
0.101692
0.108571
0.10127
0.094913
0.085448
0.074868
0.07733
0.062246
0.125584
0.120244
0.137692
0.044446
0.015645
0.021555
0.008781
0.00836
0.015241
N/A
Normal
Deviate
2.191678
1.946444
1.880836
2.263999
2.074906
2.273827
2.278221
2.456643
2.752261
2.885135
3.348411
0.579205
0.560715
0.489392
0.34498
0.01535
0.076564
1.033889
1.343124
1.362916
N/A
Normally Distributed Random Variables with a Known Event Disturbance

Mean return for stocks is zero
=
0.02
Disturbances:
Day 15 =
Day
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
31
Stock 1
-0.02133
0.015773
-0.01916
0.017415
0.025689
-0.01876
-0.01072
0.00216
-0.00472
0.029143
0.004585
-0.03029
-0.02533
-0.01699
-0.01917
0.106761
0.010656
0.007613
0.013551
-0.02974
-0.00667
-0.00836
-0.00221
-0.00128
-0.01382
-0.03214
-0.02543
-0.02439
0.003008
0.015923
-0.01271
Stock 2
-0.03944
-0.02728
0.024521
-0.02116
0.023127
0.001734
-0.02337
-0.00315
-0.00629
-0.02718
0.010937
-0.01757
-0.00744
0.024913
0.014273
0.066392
0.020415
-0.00832
0.014452
-0.00764
-0.01979
0.02472
0.015561
0.031332
0.004126
-0.00242
-0.02197
0.005896
-0.02399
-0.01956
-0.01835
Stock 3
-0.04063
-0.04608
0.021839
0.01447
0.010833
-0.01694
-0.03337
-0.00324
-0.02614
0.016767
0.060108
0.020814
0.027665
-0.01844
0.001384
0.114192
0.015694
-0.01971
0.00883
0.009313
-0.00178
-0.01234
-0.01557
0.041078
0.00842
0.016916
0.007834
-0.00592
0.015248
0.022825
-0.01987
0.02 Day 16 =
Stock 4
0.013753
0.036016
-0.01059
0.053503
0.050723
0.036527
-0.01564
0.001318
0.018582
-0.01752
-0.00965
-0.00673
0.014545
-0.00421
0.011203
0.128066
0.032765
-0.0292
0.013437
0.000268
-0.01232
0.001888
0.011987
0.00423
0.013696
-0.03128
0.023475
0.005561
-0.00081
0.009641
0.008931
Stock 5
0.024338
-0.01579
0.015296
0.031664
-0.01718
0.022324
0.001881
0.002044
-0.00741
-0.01263
-0.0124
0.018264
0.010801
0.002734
0.03121
0.106272
0.00482
-0.00726
0.017094
-0.04274
-0.02101
0.011671
-0.00782
-0.02593
0.003421
-0.0125
-0.01929
0.010012
0.014718
0.005737
-0.01053
0.1 Day 17 =
Stock 6
0.013901
0.020201
0.003858
0.0114
0.009295
0.017004
0.03148
0.018464
-0.04172
0.014528
-0.01598
0.012137
0.03043
-0.00533
0.039011
0.12978
0.016734
-0.01084
-0.01235
-0.01019
8.93E-06
-0.01718
0.004691
-0.01894
0.028837
-0.00611
-0.00766
-0.00781
0.02874
-0.01406
-0.02104
Stock 7
0.002214
-0.01644
0.008798
-0.01967
0.022964
0.004413
-0.02824
0.016201
-0.02901
-0.01582
-0.01194
0.008318
0.00987
-0.02348
0.021403
0.100843
0.031472
0.015776
-0.00264
0.004781
0.007307
-0.00104
-0.009
0.008255
-0.00805
-0.03522
-0.00279
-0.01585
-0.02566
0.005194
-0.03053
0.02
Stock 8
-0.00786
0.000586
-0.01135
0.022197
-0.0097
-0.0153
-0.00838
0.017189
0.010515
-0.0085
-0.00724
0.00511
-0.00304
-0.00064
0.03697
0.112434
0.024403
0.005767
-0.01017
-0.00481
-0.00158
0.025131
0.035956
-0.0101
-0.05296
-0.00394
0.007546
-0.0102
-0.01668
0.000836
0.003643
Stock 9
-0.0221
0.047479
0.006264
-0.04761
0.015227
-0.04079
0.024362
-0.001
-0.00245
-0.02511
-0.00955
-0.02764
0.002565
0.033674
-0.00857
0.08292
0.003825
0.006824
-0.01576
0.005346
0.028634
0.011139
-0.00646
0.013808
0.007706
-0.00854
-0.01022
-0.02482
0.020984
-0.02827
-0.02711
Stock 10
0.021087
-0.01646
-0.00213
-0.02857
-0.04834
0.019562
-0.01798
-0.00966
0.017057
-0.00598
-0.00416
0.016869
0.02285
-0.00753
-0.00816
0.093259
0.018472
0.035206
-0.01148
0.014929
-0.0017
0.001011
0.021277
0.001965
0.0156
0.017427
0.010563
-0.00132
-0.04635
0.007682
0.012813
Average Residuals
ARt
t
Normal Deviate
-0.0056064
-0.00019872
0.003735327
0.003365117
0.008263766
0.000978712
-0.00799727
0.004031824
-0.00715971
-0.00523023
0.000469207
-7.1639E-05
0.008290974
-0.00152889
0.011955126
0.104092048
0.017925548
-0.00041351
0.001495071
-0.00604884
-0.00289113
0.003663406
0.004842045
0.004441952
0.000698365
-0.00978096
-0.00379523
-0.0068832
-0.00307908
0.000595317
-0.01147522
0.024316
0.029563
0.014593
0.031277
0.027434
0.023696
0.021496
0.009785
0.020064
0.019038
0.022503
0.019233
0.017207
0.018324
0.020359
0.019481
0.009899
0.018573
0.013184
0.017925
0.014252
0.014498
0.016159
0.020781
0.022303
0.018776
0.016019
0.012273
0.024245
0.016203
0.015107
-0.23056279
-0.00672202
0.255961867
0.107590806
0.301218451
0.041302543
-0.37204036
0.412047361
-0.35684533
-0.2747229
0.020850837
-0.00372472
0.481845111
-0.08343793
0.587229672
5.343287332
1.810760682
-0.02226351
0.113403536
-0.33745768
-0.20286412
0.252676017
0.299647653
0.213748429
0.03131315
-0.5209155
-0.23692451
-0.56081869
-0.12699609
0.036741347
-0.75958633
Averages: 0.003441412 0.018986
0.2004433
Day
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
31
Cumulative Average Residuals for Ind

Stock 1
Stock 2
Stock 3
-0.02133 -0.03944 -0.04063
-0.00555 -0.06672 -0.08671
-0.02471 -0.0422 -0.06487
-0.0073 -0.06336 -0.0504
0.01839 -0.04023 -0.03956
-0.00037 -0.0385 -0.0565
-0.01108 -0.06186 -0.08987
-0.00892 -0.06501 -0.09311
-0.01364 -0.07131 -0.11925
0.015499 -0.09849 -0.10248
0.020084 -0.08755 -0.04237
-0.01021 -0.10512 -0.02156
-0.03554 -0.11256 0.006105
-0.05253 -0.08765 -0.01233
-0.0717 -0.07338 -0.01095
0.035059 -0.00698 0.103246
0.045715 0.01343 0.11894
0.053328 0.00511 0.099234
0.066879 0.019563 0.108064
0.037139 0.01192 0.117377
0.030468 -0.00788 0.115594
0.022103 0.016844 0.103249
0.019893 0.032406 0.087677
0.01861 0.063738 0.128755
0.004794 0.067864 0.137174
-0.02734 0.065447 0.154091
-0.05277 0.04348 0.161925
-0.07716 0.049376 0.156006
-0.07415 0.025385 0.171254
-0.05823 0.005825 0.194079
-0.07094 -0.01252 0.174205
verage Residuals for Individual Stocks

Stock 4
Stock 5
Stock 6
0.013753 0.024338 0.013901
0.04977 0.008547 0.034101
0.039183 0.023843 0.037959
0.092686 0.055508 0.049359
0.143409 0.038329 0.058654
0.179936 0.060652 0.075658
0.164293 0.062534 0.107138
0.165611 0.064578 0.125602
0.184194 0.057169 0.08388
0.166679 0.044536 0.098408
0.157026 0.032131 0.08243
0.150296 0.050394 0.094567
0.16484 0.061195 0.124997
0.160627 0.063929 0.119671
0.17183 0.095139 0.158681
0.299896 0.201411 0.288462
0.332661 0.206231 0.305196
0.30346 0.198975 0.294357
0.316897 0.216069 0.282002
0.317165 0.173331 0.271807
0.304846 0.152318 0.271816
0.306734 0.163989 0.254637
0.318721 0.156172 0.259328
0.322951 0.130247 0.240391
0.336647 0.133668 0.269229
0.305368 0.121164 0.263114
0.328843 0.101869 0.255449
0.334404 0.111881 0.247639
0.33359
0.1266 0.276379
0.343231 0.132336 0.262323
0.352162 0.121804 0.241287
Stock 7
0.002214
-0.01422
-0.00542
-0.02509
-0.00213
0.002286
-0.02596
-0.00976
-0.03877
-0.05459
-0.06653
-0.05822
-0.04835
-0.07183
-0.05042
0.050421
0.081894
0.097669
0.09503
0.099811
0.107119
0.106083
0.097085
0.105341
0.097289
0.062065
0.059272
0.043423
0.017764
0.022958
-0.00757
Stock 8
-0.00786
-0.00727
-0.01862
0.003581
-0.00612
-0.02142
-0.02979
-0.01261
-0.00209
-0.01059
-0.01784
-0.01273
-0.01577
-0.01641
0.020562
0.132996
0.157399
0.163166
0.152995
0.148185
0.146609
0.17174
0.207696
0.197592
0.144637
0.140694
0.14824
0.138041
0.121366
0.122202
0.125845
Stock 9
-0.0221
0.025376
0.031639
-0.01597
-0.00074
-0.04153
-0.01716
-0.01816
-0.02061
-0.04572
-0.05528
-0.08291
-0.08035
-0.04667
-0.05524
0.027677
0.031503
0.038326
0.022562
0.027908
0.056543
0.067681
0.061224
0.075032
0.082738
0.074202
0.063982
0.039166
0.06015
0.031881
0.004769
Stock 10
0.021087
0.00463
0.002501
-0.02607
-0.07441
-0.05485
-0.07283
-0.0825
-0.06544
-0.07141
-0.07558
-0.05871
-0.03586
-0.04339
-0.05155
0.041709
0.06018
0.095386
0.083903
0.098832
0.097127
0.098139
0.119416
0.121381
0.136981
0.154409
0.164972
0.163651
0.117302
0.124984
0.137797
Cumulative Average Residual Stati

CARt
Day
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
31
-0.00561
-0.00581
-0.00207
0.001295
0.009559
0.010538
0.002541
0.006572
-0.00059
-0.00582
-0.00535
-0.00542
0.002871
0.001342
0.013297
0.117389
0.135315
0.134901
0.136396
0.130348
0.127456
0.13112
0.135962
0.140404
0.141102
0.131321
0.127526
0.120643
0.117564
0.118159
0.106684
Averages:
ulative Average Residual Statistics

t
Normal Deviate
0.024316 -0.23056
0.042554 -0.13642
0.035722 -0.05794
0.04975 0.026037
0.061158
0.1563
0.074937 0.140622
0.082666 0.030732
0.086478
0.076
0.08815 -0.00666
0.088089 -0.06604
0.078581 -0.06806
0.081152 -0.06679
0.088668 0.032379
0.084508 0.015881
0.095049 0.139899
0.110848 1.059011
0.113407 1.19318
0.103166 1.307613
0.103878 1.313047
0.101313 1.286589
0.09861 1.292524
0.094449 1.388253
0.098923 1.374417
0.090312 1.55465
0.096623 1.460336
0.098023 1.339697
0.109966 1.159683
0.11648 1.03574
0.121736 0.965728
0.123696 0.955235
0.130682 0.81636
0.08948 0.628627

=
0.02
Disturbances:
Day 3 =
Day
1
2
3
4
5
6
7
Stock 1
0.00318
-0.00288
0.013999
0.04621
0.035914
-0.04138
-0.03061
Stock 2
-0.0026
-0.00708
-0.00835
0.092033
-0.00261
-0.0159
0.031943
Stock 3
-0.00347
0.021229
0.005475
0.051475
0.014795
-0.04062
-0.00187
0 Day 4=
Stock 4
-0.00122
0.009362
0.014003
0.023577
0.03354
0.022924
-0.0097
Stock 5
-0.00875
-0.02235
0.008172
0.028341
0.033865
0.014363
0.00519
0.05 Day 5 =
Stock 6
0.024333
0.018954
0.010376
0.075461
0.007626
0.008188
0.003875
Stock 7
0.028207
0.013334
-0.01584
0.014567
-0.01289
-0.00821
0.006989

=
0.01
Disturbances:
Day 3 =
0 Day 4=
0.05 Day 5 =
Day
-3
-2
-1
0
1
2
3
Stock 1
-0.00378
0.01016
-0.0107
0.056038
0.027321
-0.0079
0.013774
Stock 2
0.018743
-0.01003
-0.00437
0.049864
0.004862
0.015381
-0.00935
Stock 3
-0.00634
-0.0116
-0.00469
0.053117
0.032417
0.015806
0.003762
Stock 4
0.019228
0.009446
-0.00562
0.038451
0.038128
-0.00549
-0.00397
Stock 5
-0.00426
-0.00836
0.001884
0.073299
0.021311
0.016388
-0.00168
Stock 6
-0.01817
-0.00897
-0.01665
0.058178
0.014303
0.009416
-0.00976
Stock 7
0.008591
0.005675
-0.00129
0.055564
0.034802
0.002636
0.005142

=
0.02
Disturbances:
Day 3 =
0 Day 4=
0.05 Day 5 =
Day
-3
-2
-1
0
1
2
3
Stock 1
0.043863
0.03598
-0.01593
0.071611
0.00084
-0.00275
-0.02504
Stock 2
0.043183
-0.02902
0.011724
0.032228
0.038864
0.010675
-0.00957
Stock 3
0.018956
0.047024
-0.00297
0.050559
0.007568
-0.01687
-0.0027
Stock 4
-0.01272
0.009618
0.032047
0.027148
0.004719
-0.00832
-0.03424
Stock 5
0.003188
-0.00858
0.02854
0.031698
0.04624
-0.01089
-0.01744
Stock 6
0.008026
0.003285
-0.00151
0.032934
0.010986
-0.01277
-0.00145
Stock 7
-0.01812
0.004673
-0.00846
0.074865
0.002
0.038231
-0.03445
0.02
Stock 8
0.032912
-0.0391
-0.04022
0.087915
0.013571
0.019581
0.008317
Stock 9
0.022793
0.003159
-0.03256
0.061385
0.004919
0.009966
0.027909
0.02
Stock 8
-0.00556
-0.00263
-0.00795
0.053724
0.012471
-0.01348
0.009899
Stock 9
-0.00883
0.010073
0.010509
0.037404
0.015684
0.002745
0.01582
0.02
Stock 8
-0.04478
0.029908
0.012117
0.045448
0.036629
0.01076
0.001693
Stock 9
-0.02437
0.003578
-0.00533
0.054037
0.022253
-0.01551
0.01658
Average Residuals
ARt
t
Normal Deviate
Day
1
2
3
4
5
6
7

Stock 1
Stock 2
Stock 3
0.00318 -0.0026 -0.00347
0.000295 -0.00968 0.017757
0.014294 -0.01804 0.023232
0.060504 0.073996 0.074707
0.096418 0.071385 0.089502
0.055042 0.055483 0.048887
0.024435 0.087426 0.047015
-3
-2
-1
0
1
2
3
Average Residuals
ARt
t
Normal Deviate
0.000140959 0.012061 0.011687539
-0.00071146 0.008908 -0.07986364
-0.00213311 0.010028 -0.21270907
0.051526657 0.01094 4.71002395
0.022382602 0.010769 2.078396361
0.001420697 0.013189 0.107718447
0.002813911 0.00895 0.314410681
Day
1
2
3
4
5
6
7

Stock 1
Stock 2
Stock 3
-0.00378 0.018743 -0.00634
0.006384 0.008718 -0.01794
-0.00431 0.00435 -0.02262
0.051724 0.054215 0.030494
0.079045 0.059077 0.062911
0.071148 0.074458 0.078717
0.084922 0.065105 0.082479
-3
-2
-1
0
1
2
3
Average Residuals
ARt
t
Normal Deviate
-0.00081726 0.029721 -0.02749757
0.010619319 0.022164 0.479130267
0.004409405 0.016103 0.273825859
0.046764675 0.016635 2.811231325
0.021620524 0.018684 1.15719514
-0.00154511 0.017046 -0.0906435
-0.01316934 0.016876 -0.78033693
Day
1
2
3
4
5
6
7

Stock 1
Stock 2
Stock 3
0.043863 0.043183 0.018956
0.079842 0.014159 0.06598
0.063915 0.025884 0.063008
0.135526 0.058112 0.113566
0.136367 0.096976 0.121134
0.133619 0.107651 0.104266
0.108576 0.098082 0.101562
Stock 10
-0.0241
0.014394
0.02553
0.094826
0.024658
0.028506
-0.00039
0.007128961
0.000901084
-0.00194264
0.057579064
0.015339231
-0.0002572
0.004165119
0.018767
0.019355
0.021627
0.029546
0.016583
0.025332
0.017702
0.379865237
0.046555079
-0.08982447
1.948810723
0.924997307
-0.01015315
0.235286034
Averages: 0.011844803 0.021273 0.490790966
Stock 10 Day
0.001769
-0.00088
0.017535
0.039626
0.022527
-0.02129
0.004503
Stock 10 Day
-0.02541
0.009727
-0.00614
0.047118
0.046106
-0.00802
-0.02507

Stock 4
Stock 5
Stock 6
-0.00122 -0.00875 0.024333
0.008141 -0.0311 0.043288
0.022145 -0.02293 0.053663
0.045722 0.005415 0.129125
0.079262 0.03928 0.136751
0.102186 0.053643 0.144939
0.092485 0.058833 0.148813
Stock 7
0.028207
0.041541
0.025699
0.040266
0.027381
0.019175
0.026164
Stock 8
0.032912
-0.00619
-0.04641
0.041501
0.055072
0.074652
0.082969
Stock 9
0.022793
0.025953
-0.00661
0.054775
0.059694
0.06966
0.097569
Stock 10
-0.0241
-0.0097
0.015828
0.110655
0.135313
0.163819
0.163427
Cumulative Average Residual Stati

CARt
Day
1
2
3
4
5
6
7
0.007129
0.00803
0.006087
0.063666
0.079006
0.078749
0.082914
Averages:

Stock 4
Stock 5
Stock 6
0.019228 -0.00426 -0.01817
0.028675 -0.01262 -0.02714
0.023054 -0.01074 -0.04379
0.061505 0.062559 0.014389
0.099633 0.08387 0.028692
0.094138 0.100258 0.038108
0.090171 0.098574 0.028352
Stock 7
0.008591
0.014266
0.012976
0.06854
0.103342
0.105978
0.11112
Stock 8
-0.00556
-0.00819
-0.01613
0.03759
0.050061
0.036576
0.046475
Stock 9
-0.00883
0.001247
0.011756
0.04916
0.064844
0.067589
0.083409
Stock 10
0.001769
0.000893
0.018428
0.058055
0.080582
0.059293
0.063797
Cumulative Average Residual Statis

Day
CARt
1 0.000141
2 -0.00057
3 -0.0027
4 0.048823
5 0.071206
6 0.072626
7 0.07544

Stock 4
Stock 5
Stock 6
-0.01272 0.003188 0.008026
-0.0031 -0.00539 0.011311
0.028948 0.023152 0.009802
0.056096 0.05485 0.042736
0.060815 0.10109 0.053722
0.052496 0.090199 0.040957
0.018261 0.072762 0.039505
Stock 7
-0.01812
-0.01345
-0.02191
0.052957
0.054957
0.093188
0.058734
Stock 8
-0.04478
-0.01487
-0.00275
0.042698
0.079327
0.090087
0.09178
Stock 9
-0.02437
-0.02079
-0.02612
0.027916
0.050169
0.034662
0.051242
Stock 10
-0.02541
-0.01568
-0.02181
0.025304
0.07141
0.063389
0.038318
Cumulative Average Residual Statis

Day
CARt
1 -0.00082
2 0.009802
3 0.014211
4 0.060976
5 0.082597
6 0.081052
7 0.067882

t
Normal Deviate
0.018767 0.379865
0.024044 0.333968
0.029257 0.20807
0.035846 1.776106
0.036766 2.148889
0.045266 1.739684
0.046739 1.773966
0.033812 1.194364

t
Normal Deviate
0.012061 0.011688
0.016419 -0.03475
0.020942 -0.1291
0.016696 2.924155
0.022758 3.128764
0.023747 3.058281
0.024781 3.044296

t
Normal Deviate
0.029721 -0.0275
0.035299 0.277684
0.033034 0.430207
0.03573 1.70659
0.030156 2.738962
0.031988 2.533773
0.031268 2.17096
Annual Stock Against S&P500 and Industry Returns; 1971 to 2010

Year
1971
1972
1973
1974
1975
1976
1977
1978
1979
1980
1981
1982
1983
1984
1985
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
Stock
Return
0.10744
-0.20158
-0.52248
0.43227
-0.05039
-0.37331
0.27566
0.20091
0.23306
-0.27492
0.27318
0.43995
0.11354
0.45988
0.33915
-0.39223
0.22408
0.21501
-0.13159
0.35984
-0.05446
0.20876
-0.16123
0.67425
0.42950
0.46644
0.40817
0.35882
-0.16301
-0.20730
-0.19424
0.43350
0.21498
0.06276
0.19643
-0.29032
-0.62574
0.56938
0.40864
0.24785
S&P
Return
0.146176
-0.18826
-0.24503
0.334895
0.07165
-0.13054
0.10482
0.112225
0.199279
-0.11805
0.230179
0.153153
0.03125
0.213287
0.270413
-0.05293
0.139321
0.191205
-0.04259
0.278319
0.046025
0.086759
-0.01636
0.320623
0.247062
0.257289
0.296265
0.141595
-0.0631
-0.14631
-0.21432
0.264199
0.043169
0.082376
0.11373
-0.03188
-0.3722
0.298066
0.13198
0.10493
Industry
Return
0.14585
-0.17561
-0.23107
0.33108
0.08910
-0.13011
0.09815
0.11660
0.19621
-0.13030
0.23046
0.16905
0.03702
0.21460
0.26119
-0.04328
0.14231
0.21137
-0.05571
0.27623
0.05752
0.09084
-0.01437
0.32173
0.24886
0.26269
0.31905
0.12999
-0.07217
-0.16259
-0.19132
0.24827
0.04769
0.07588
0.10720
-0.02119
-0.37522
0.29622
0.11869
0.09907
SUMMARY OUTPUT
Multiple R
0.928733544
R Square
0.862545997
Adjusted R Square
0.85511605
Standard Error
0.121703412
Observations
40
ANOVA
df
Regression
Residual
Total
Intercept
X Variable 1
X Variable 2
SS
2 3.438999416
37 0.548033658
39 3.987033074
Coefficients
Standard Error
-0.021423527 0.021616345
3.006318797 1.856435223
-1.293186386 1.863567292
SUMMARY OUTPUT
Multiple R
0.927769955
R Square
0.86075709
Adjusted R Square
0.857092802
Standard Error
0.120870319
Observations
40
ANOVA
df
Regression
Residual
Total
Intercept
X Variable 1
SS
1 3.431866985
38 0.555166089
39 3.987033074
Coefficients
Standard Error
-0.023684743 0.021223049
1.720471469 0.112254024
SUMMARY OUTPUT
Multiple R
0.923473656
R Square
0.852803593
Adjusted R Square
0.848930003
Standard Error
0.124274415
Observations
40
ANOVA
df
Regression
Residual
Total
Intercept
X Variable 1
SS
3.40015613
38 0.586876945
39 3.987033074
Coefficients
Standard Error
-0.025774435 0.021901833
1.719083457 0.115858862
SUMMARY OUTPUT
Multiple R
0.998144831
R Square
0.996293104
Adjusted R Square
0.996195554
Standard Error
0.010594144
Observations
40
ANOVA
df
Regression
Residual
Total
Intercept
X Variable 1
SS
1 1.146283555
38 0.004264964
39 1.150548519
Coefficients
Standard Error
0.001748561 0.001860176
0.994324825 0.009838936
Regression on Full Data Set
MS
F
Significance F
1.7195 116.0905 1.1374E-16
t Stat
P-value
Lower 95% Upper 95%Lower 95.0%
Upper 95.0%
-0.99108 0.328084 -0.0652224 0.022375 -0.06522 0.022375
1.619404 0.113854 -0.75517623 6.767814 -0.75518 6.767814
-0.69393 0.49206 -5.06913236 2.48276 -5.06913 2.48276
Regression on the S&P500 Return Only
MS
F
Significance F
3.431867 234.9044 7.4422E-18
t Stat
P-value
Upper 95.0%
-1.11599 0.271433 -0.06664856 0.019279 -0.06665 0.019279
15.32659 7.44E-18 1.49322508 1.947718 1.493225 1.947718
Regression on Industry Return Only
0.066121
MS
3.400156 220.1585
Significance F
2.1476E-17
Table 5: SSE and r-Square Values

t Stat
P-value
Upper 95.0%
-1.17682 0.246588 -0.07011238 0.018564 -0.07011 0.018564
14.83774 2.15E-17 1.48453946 1.953627 1.484539 1.953627
Industry Returns Against S&P 500 Returns
MS
F
Significance F
1.146284 10213.16 8.3398E-48
0.000112
t Stat
P-value
Upper 95.0%
0.939998 0.353156 -0.00201717 0.005514 -0.00202 0.005514
101.0602 8.34E-48 0.97440694 1.014243 0.974407 1.014243
Table 2 Table 3
0.54803
Table 4
0.555166
0.58688
0.86255
0.86076
0.852804
SSE and r-Square Values

=
0.012847 0.012847
0.066186 0.066186

b0 =
Year
1971
1972
1973
1974
1975
1976
1977
1978
1979
1980
1981
1982
1983
1984
1985
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
0.03 b1 =
Stock
Return
0.10744
-0.20158
-0.52248
0.43227
-0.05039
-0.37331
0.27566
0.20091
0.23306
-0.27492
0.27318
0.43995
0.11354
0.45988
0.33915
-0.39223
0.22408
0.21501
-0.13159
0.35984
-0.05446
0.20876
-0.16123
0.67425
0.42950
0.46644
0.40817
0.35882
-0.16301
-0.20730
-0.19424
0.43350
0.21498
0.06276
0.19643
-0.29032
-0.62574
0.56938
0.40864
0.24785
S&P
Return
0.146176
-0.18826
-0.24503
0.334895
0.07165
-0.13054
0.10482
0.112225
0.199279
-0.11805
0.230179
0.153153
0.03125
0.213287
0.270413
-0.05293
0.139321
0.191205
-0.04259
0.278319
0.046025
0.086759
-0.01636
0.320623
0.247062
0.257289
0.296265
0.141595
-0.0631
-0.14631
-0.21432
0.264199
0.043169
0.082376
0.11373
-0.03188
-0.3722
0.298066
0.13198
0.10493
1.1 b2 =
Industry
Return
0.14585
-0.17561
-0.23107
0.33108
0.08910
-0.13011
0.09815
0.11660
0.19621
-0.13030
0.23046
0.16905
0.03702
0.21460
0.26119
-0.04328
0.14231
0.21137
-0.05571
0.27623
0.05752
0.09084
-0.01437
0.32173
0.24886
0.26269
0.31905
0.12999
-0.07217
-0.16259
-0.19132
0.24827
0.04769
0.07588
0.10720
-0.02119
-0.37522
0.29622
0.11869
0.09907
0.5 Stock Random

Industry Random
0.1
0.01
SUMMARY OUTPUT
Multiple R
0.928733544
R Square
0.862545997
Adjusted R Square
0.85511605
Standard Error
0.121703412
Observations
40
ANOVA
df
Regression
Residual
Total
Intercept
X Variable 1
X Variable 2
SS
2 3.438999416
37 0.548033658
39 3.987033074
Coefficients
Standard Error
-0.021423527 0.021616345
3.006318797 1.856435223
-1.293186386 1.863567292
SUMMARY OUTPUT
Multiple R
0.920531271
R Square
0.847377821
Adjusted R Square
0.829422271
Standard Error
0.125546038
Observations
20
ANOVA
df
Regression
Residual
Total
Intercept
X Variable 1
X Variable 2
SS
2
1.48769667
17 0.267950731
19 1.755647401
Coefficients
Standard Error
-0.060652437
0.03358933
0.835775754 2.977698112
0.867432923
3.00575536
SUMMARY OUTPUT
Multiple R
R Square
Adjusted R Square
Standard Error
Observations
0.947946432
0.898602438
0.886673313
0.114342085
20
ANOVA
df
Regression
Residual
Total
SS
2
1.96970512
17 0.222259911
19 2.191965031
Coefficients
Standard Error
0.010121213
0.02797532
3.853114475 2.329593717
-2.10816525
2.32890988
Intercept
X Variable 1
X Variable 2
SUMMARY OUTPUT
Multiple R
0.998144831
R Square
0.996293104
Adjusted R Square
0.996195554
Standard Error
0.010594144
Observations
40
ANOVA
df
Regression
Residual
Total
SS
1 1.146283555
38 0.004264964
39 1.150548519
Coefficients
Standard Error
0.001748561 0.001860176
0.994324825 0.009838936
Intercept
X Variable 1
RESIDUAL OUTPUT
Observation
1
2
3
4
5
6
7
8
9
10
11
12
Predicted Y
0.147095172
-0.185443165
-0.241892575
0.334743231
0.07299174
-0.128050103
0.105973634
0.113337116
0.19989625
-0.115626625
0.230621283
0.154032544
Residuals
-0.001246474
0.009831554
0.010819001
-0.003659931
0.016111605
-0.002058562
-0.007820651
0.003262435
-0.003691056
-0.014670343
-0.000158338
0.015014626
13
14
15
16
17
18
19
20
21
22
23
24
0.032821212
0.213824835
0.270626984
-0.050881108
0.140279246
0.191868764
-0.040601715
0.278487896
0.047512165
0.088014916
-0.014522553
0.320552289
0.004198292
0.000772743
-0.009437844
0.007597783
0.002026339
0.019505077
-0.01511179
-0.002256866
0.010003142
0.002821106
0.000156001
0.001174978
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
0.24740871
0.25757743
0.29633236
0.142540313
-0.060997012
-0.143734063
-0.211355303
0.26444815
0.044672784
0.083657206
0.114833153
-0.029948964
-0.368343125
0.298123021
0.132979474
0.106084068
0.001446474
0.005110541
0.022714849
-0.012553393
-0.011168861
-0.018855007
0.020034081
-0.016173478
0.003012539
-0.007781895
-0.00763726
0.008757749
-0.006879428
-0.001907871
-0.014286527
-0.007015343
1.0420015
Regression on Full Data Set
MS
F
Significance F
1.7195 116.0905 1.1374E-16
0.014812
t Stat
P-value
Upper 95.0%
-0.99108 0.328084 -0.0652224 0.022375 -0.06522 0.022375
1.619404 0.113854 -0.75517623 6.767814 -0.75518 6.767814
-0.69393 0.49206 -5.06913236 2.48276 -5.06913 2.48276
Regression on 1971 to 1990
MS
F
Significance F
0.743848 47.19309 1.1501E-07
0.015762
t Stat
-1.80571
0.280678
0.288591
P-value
Upper 95.0%
0.088703 -0.13151973 0.010215 -0.13152 0.010215
0.782344 -5.44661805 7.11817 -5.44662 7.11817
0.776384 -5.4741565 7.209022 -5.47416 7.209022
Regression on 1991 to 2010
MS
F
Significance F
0.984853 75.32845 3.5582E-09
0.013074
t Stat
0.361791
1.653986
-0.90522
P-value
Upper 95.0%
0.721966 -0.04890155 0.069144
-0.0489 0.069144
0.116475 -1.0618986 8.768128
-1.0619 8.768128
0.378002 -7.02173555 2.805405 -7.02174 2.805405
Industry Returns Against S&P 500 Returns
MS
F
Significance F
1.146284 10213.16 8.3398E-48
0.000112
t Stat
P-value
Upper 95.0%
0.939998 0.353156 -0.00201717 0.005514 -0.00202 0.005514
101.0602 8.34E-48 0.97440694 1.014243 0.974407 1.014243
S&P ReturnStock Return

0.146176 0.10744
-0.18826 -0.20158
-0.24503 -0.52248
0.334895 0.43227
0.07165 -0.05039
-0.13054 -0.37331
0.10482 0.27566
0.112225 0.20091
0.199279 0.23306
-0.11805 -0.27492
0.230179 0.27318
0.153153 0.43995
SUMMARY OUTPUT
Multiple R 0.928734
R Square 0.862546
Adjusted R Square
0.855116
Standard Error
0.121703
Observations
40
Stock Returns versus S&P and Residuals
ANOVA
df
Regression
SS
2 3.438999
MS
F
Significance F
1.7195 116.0905 1.14E-16
0.03125
0.213287
0.270413
-0.05293
0.139321
0.191205
-0.04259
0.278319
0.046025
0.086759
-0.01636
0.320623
0.11354
0.45988
0.33915
-0.39223
0.22408
0.21501
-0.13159
0.35984
-0.05446
0.20876
-0.16123
0.67425
Residual
Total
37 0.548034 0.014812
39 3.987033
0.247062
0.257289
0.296265
0.141595
-0.0631
-0.14631
-0.21432
0.264199
0.043169
0.082376
0.11373
-0.03188
-0.3722
0.298066
0.13198
0.104931
0.42950
0.46644
0.40817
0.35882
-0.16301
-0.20730
-0.19424
0.43350
0.21498
0.06276
0.19643
-0.29032
-0.62574
0.56938
0.40864
0.24785
b * 0 = (b 0 + b 2 0 ) and b * 1 = (b 1 + b 2 1 )
Coefficients
Standard Error t Stat
P-value Lower 95%
Intercept
-0.02368 0.021369 -1.10835 0.274863 -0.06698
X Variable 1 -1.29319 1.863567 -0.69393 0.49206 -5.06913
X Variable 2 1.720471 0.113028 15.22168 1.64E-17 1.491456
b(0) =
b(1) =
-0.02368
1.720471
SUMMARY OUTPUT
Multiple R
0.92777
R Square 0.860757
Adjusted R Square
0.857093
Standard Error0.12087
Observations
40
Stock Returns versus S&P Returns
ANOVA
df
Regression
Residual
Total
SS
MS
F
Significance F
1 3.431867 3.431867 234.9044 7.44E-18
38 0.555166 0.01461
39 3.987033
Coefficients
P-value Lower 95%
Intercept
-0.02368 0.021223 -1.11599 0.271433 -0.06665
X Variable 1 1.720471 0.112254 15.32659 7.44E-18 1.493225
s S&P and Residuals
Significance F

Upper 95.0%
0.019614 -0.06698 0.019614
2.48276 -5.06913 2.48276
1.949487 1.491456 1.949487
s S&P Returns
Significance F

Upper 95.0%
0.019279 -0.06665 0.019279
1.947718 1.493225 1.947718

b0 =
DATE
1971
1972
1973
1974
1975
1976
1977
1978
1979
1980
1981
1982
1983
1984
1985
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
0.03 b1 =
Stock
Return
0.30335
-0.16693
-0.35542
0.56112
0.09266
-0.18279
0.08344
0.11417
0.19288
-0.20901
0.46529
0.26144
0.08462
0.39854
0.42666
-0.23613
0.08345
0.46660
-0.15002
0.46888
-0.08639
0.05387
-0.17635
0.55110
0.58767
0.49014
0.41706
0.16288
-0.27923
-0.26047
-0.42351
0.43990
-0.04446
0.07893
0.09529
-0.03719
-0.35815
0.49065
0.29852
0.17781
S&P
Return
0.146176
-0.18826
-0.24503
0.334895
0.07165
-0.13054
0.10482
0.112225
0.199279
-0.11805
0.230179
0.153153
0.03125
0.213287
0.270413
-0.05293
0.139321
0.191205
-0.04259
0.278319
0.046025
0.086759
-0.01636
0.320623
0.247062
0.257289
0.296265
0.141595
-0.0631
-0.14631
-0.21432
0.264199
0.043169
0.082376
0.11373
-0.03188
-0.3722
0.298066
0.13198
0.10493
1.1 b2 =
Industry
Return
0.15529
-0.20214
-0.23339
0.33927
0.04997
-0.11245
0.11341
0.10090
0.21554
-0.12420
0.23265
0.15951
0.03841
0.21825
0.26306
-0.05486
0.13717
0.19386
-0.04624
0.30287
0.03572
0.08153
-0.02592
0.31768
0.25854
0.26550
0.29353
0.14462
-0.05263
-0.13519
-0.21259
0.26938
0.04913
0.07842
0.11230
-0.00878
-0.37721
0.29601
0.13849
0.09842
0.5 Stock Random

Industry Random
0.1
0.01
SUMMARY OUTPUT
Multiple R
0.946649213
R Square
0.896144733
Standard Error
0.100230848
Observations
40
ANOVA
df
Regression
Residual
Total
Intercept
X Variable 1
X Variable 2
SS
MS
2 3.207408 1.603704
37 0.37171 0.010046
39 3.579118

-0.024556047 0.018054 -1.36017
1.270436474 1.738658 0.730699
0.38513495 1.702774 0.226181
SUMMARY OUTPUT
Multiple R
1
R Square
1
Adjusted R Square
1
Standard Error
7.39726E-17
Observations
20
ANOVA
df
Regression
Residual
Total
Intercept
X Variable 1
X Variable 2
SS
MS
2 1.261398 0.630699
17
9.3E-32 5.47E-33
19 1.261398

-0.03 1.88E-17 -1.6E+15
1.1 2.94E-16 3.74E+15
0.5 2.69E-16 1.86E+15
-2.11133
F
Significance F
159.6325 6.37E-19
P-value Lower 95%Upper 95%Lower 95.0%

Upper 95.0%
0.182005 -0.06114 0.012024 -0.06114 0.012024
0.469565 -2.25242 4.793293 -2.25242 4.793293
0.822306 -3.06501 3.835284 -3.06501 3.835284
F
Significance F
1.15E+32 2.4E-265

Upper 95.0%
1.9E-249
-0.03
-0.03
-0.03
-0.03
1E-255
1.1
1.1
1.1
1.1
1.5E-250
0.5
0.5
0.5
0.5
CPWN Weekly Stock Prices, 2010 and Heteroskedasticity

Closing
Week Ending Price
1/4/2010
0.98
1/11/2010
1.35
1/19/2010
1.24
1/25/2010
1.2
2/1/2010
1.16
2/8/2010
1.24
2/16/2010
1.38
2/22/2010
1.29
3/1/2010
1.97
3/8/2010
2.3
3/15/2010
1.82
3/22/2010
2.34
3/29/2010
2.16
4/5/2010
3.54
4/12/2010
4.55
4/19/2010
5.47
4/26/2010
5.43
5/3/2010
4.8
5/10/2010
5.45
5/17/2010
4.8
5/24/2010
4.65
6/1/2010
5.28
6/7/2010
4.86
6/14/2010
4.77
6/21/2010
3.83
6/28/2010
3.37
7/6/2010
3.22
7/12/2010
3.2
7/19/2010
3.51
7/26/2010
3.43
8/2/2010
3.36
8/9/2010
3.17
8/16/2010
3.09
8/23/2010
3.52
8/30/2010
3.8
9/7/2010
3.78
9/13/2010
4
9/20/2010
4.07
9/27/2010
4.16
10/4/2010
5.14
10/11/2010
5.21
10/18/2010
5.25
10/25/2010
5.16
t
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
31
32
33
34
35
36
37
38
39
40
41
42
43
SUMMARY OUTPUT
Multiple R
0.79215114
R Square
0.62750343
Adjusted R Square
0.6200535
Standard Error
1.57507506
Observations
52
ANOVA
df
SS
MS
1 208.9615 208.9615
50 124.0431 2.480861
51 333.0046
F
84.2294235
CoefficientsStandard Error t Stat

0.81047511 0.443225 1.828587
0.13356698 0.014553 9.177659
P-value
0.07342955
2.6589E-12
Regression
Residual
Total
Intercept
X Variable 1
RESIDUAL OUTPUT
Observation
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
Predicted Y
0.94404209
1.07760907
1.21117604
1.34474302
1.47831
1.61187697
1.74544395
1.87901093
2.0125779
2.14614488
2.27971186
2.41327884
2.54684581
2.68041279
2.81397977
2.94754674
3.08111372
3.2146807
3.34824767
Residuals
0.035958
0.272391
0.028824
-0.14474
-0.31831
-0.37188
-0.36544
-0.58901
-0.04258
0.153855
-0.45971
-0.07328
-0.38685
0.859587
1.73602
2.522453
2.348886
1.585319
2.101752
eT
0.03595791
eeT
0.00129297
0.00979461
0.00103645
-0.00520466
-0.01144576
-0.01337192
-0.0131406
-0.0211796
-0.00153101
0.00553231
-0.01653028
-0.00263495
-0.01391017
0.03090896
0.06242366
0.09070215
0.08446104
11/1/2010
5.55
11/8/2010
5.28
11/15/2010
7.24
11/22/2010
7.83
11/29/2010
9.18
12/6/2010
10.3
12/13/2010
11.05
12/20/2010
11.77
12/27/2010
9.7
Date
Adj Close
44
45
46
47
48
49
50
51
52
T
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
3.48181465
3.61538163
3.7489486
3.88251558
4.01608256
4.14964953
4.28321651
4.41678349
4.55035047
4.68391744
4.81748442
4.9510514
5.08461837
5.21818535
5.35175233
5.4853193
5.61888628
5.75245326
5.88602023
6.01958721
6.15315419
6.28672116
6.42028814
6.55385512
6.6874221
6.82098907
6.95455605
7.08812303
7.22169
7.35525698
7.48882396
7.62239093
7.75595791
1.318185
0.05700477
1.034618
0.07557462
1.531051
0.04739919
0.977484
0.03720271
0.753917
0.05505341
-0.31965
0.0351483
-0.91322 0.984245
0.0271093
-1.19678
-0.01149393
-1.35035
-0.03283736
-1.17392
-0.04303383
-1.38748
-0.04855578
-1.59105
-0.04221162
-1.91462
-0.04989104
-2.12819
-0.05721088
-1.83175
-0.06884568
-1.68532
-0.0765251
-1.83889
-0.06586599
-1.75245
-0.06060056
-1.81602
-0.06612251
-1.85959
-0.06301456
-1.01315
-0.06530029
-1.07672
-0.06686687
-1.17029
-0.03643091
-1.39386
-0.03871664
-1.13742
-0.04208112
-1.54099
-0.05012012
0.285444
-0.04089932
0.741877
-0.05541075
1.95831
0.01026397
2.944743
0.02667635
3.561176
0.07041673
4.147609
0.1058868
1.944042 3.435193 0.12805245
0.14913935
0.06990369
Goldfeldt-Quant Test
Closing
Price
t
0.98
1.35
1.24
1.2
1.16
1.24
1
2
3
4
5
6
Closing
Price
t
5.21
5.25
5.16
5.55
5.28
7.24
41
42
43
44
45
46
SUMMARY OUTPUT
Multiple R 0.844356
R Square 0.712938
Adjusted R Square
0.684232
1.38
1.29
1.97
2.3
1.82
2.34
7
8
9
10
11
12
7.83
9.18
10.3
11.05
11.77
9.7
47
48
49
50
51
52
Standard Error
0.260007
Observations
12
ANOVA
df
Regression
Residual
Total
1
10
11
SS
1.67898619
0.67603881
2.355025
CoefficientsStandard Error
Intercept
0.818182 0.16002353
X Variable 1 0.108357 0.02174292
RESIDUAL OUTPUT
ObservationPredicted Y
1 0.926538
2 1.034895
3 1.143252
4 1.251608
5 1.359965
6 1.468322
7 1.576678
8 1.685035
9 1.793392
10 1.901748
11 2.010105
12 2.118462
df2\df1
3
4
5
6
7
8
9
Residuals
0.05346154
0.3151049
0.09674825
-0.05160839
-0.19996503
-0.22832168
-0.19667832
-0.39503497
0.17660839
0.39825175
-0.1901049
0.22153846
10.13
9.55
9.28
7.71
6.94
6.59
6.61
5.79
5.41
5.99
5.14
4.76
5.59
4.74
4.35
5.32
4.46
4.07
5.12
4.26
3.86
10
11
12
13
14
15
16
17
18
19
20
22
24
26
28
30
35
40
45
50
60
70
80
100
200
500
1000
>1000
df2/df1
4.96
4.1
3.71
4.84
3.98
3.59
4.75
3.89
3.49
4.67
3.81
3.41
4.6
3.74
3.34
4.54
3.68
3.29
4.49
3.63
3.24
4.45
3.59
3.2
4.41
3.55
3.16
4.38
3.52
3.13
4.35
3.49
3.1
4.3
3.44
3.05
4.26
3.4
3.01
4.23
3.37
2.98
4.2
3.34
2.95
4.17
3.32
2.92
4.12
3.27
2.87
4.08
3.23
2.84
4.06
3.2
2.81
4.03
3.18
2.79
3.15
2.76
3.98
3.13
2.74
3.96
3.11
2.72
3.94
3.09
2.7
3.89
3.04
2.65
3.86
3.01
2.62
3.85
2.61
1.04
2.61
(eeT)-1
7.2917E+18
9.6233E+17
-1.534E+18
-1.55E+18
5.7858E+17
1.5981E+16
-2.284E+17
-1.175E+17
2.706E+18
-9.598E+17
3.9911E+17
3.0315E+18
1.5829E+17
6.2408E+16
7.0225E+16
-9.54E+16
6.4085E+15
1.326E+17
-5.86E+16
-2.999E+17
-2.331E+17
-7.859E+16
-8.212E+16
4.2892E+16
-1.134E+17
-1.571E+17
1.5158E+16
-9.227E+16
-1.394E+17
-7.914E+15
4.8806E+16
5.3527E+16
3.9165E+15
-4.041E+16
-1.654E+17
-6.46E+16
-1.531E+17
2.1675E+17
7.4251E+15
1.8084E+17
3.5306E+16
1.6466E+17
-1.41E+15
-2.106E+17
-6.706E+16
1.2311E+18
-2.01E+17
-3.986E+16
1.1944E+17
-6.092E+15
1.6638E+15
-8.554E+16
Significance F
2.65891E-12
Lower 95%
-0.079768262
0.10433543
Upper 95% Lower 95.0% Upper 95.0%

1.700718488 -0.07976826 1.700718488
0.162798523 0.10433543 0.162798523
0.272390933
0.028823956
0.009794609
0.07419682
0.007851384
-0.039426686
-0.086704757
-0.101295916
-0.099543619
-0.160441236
-0.011597835
0.041908739
-0.125221342
-0.01996049
-0.105373292
0.234143762
0.472876171
0.687093397
0.639815326
0.001036449
0.007851384
0.00083082
-0.004172066
-0.009174953
-0.010718966
-0.01053354
-0.016977625
-0.001227264
0.004434713
-0.013250715
-0.002112186
-0.011150427
0.024776704
0.050038971
0.072707082
0.067704195
-0.14474302 -0.318309997 -0.371876974 -0.365443951 -0.589010928

-0.00520466
-0.03942669
-0.00417207
0.020950542
0.046073151
0.053826597
0.052895461
0.085255221
0.006162855
-0.02226945
0.066540083
0.0106066
0.055993231
-0.12441925
-0.25127681
-0.3651075
-0.3399849
-0.011445762
-0.086704757
-0.009174953
0.046073151
0.101321254
0.118372159
0.116324463
0.187488067
0.013552973
-0.048973622
0.146330881
0.023325386
0.12313689
-0.273615203
-0.552592596
-0.80292209
-0.747673986
-0.013371919
-0.101295916
-0.010718966
0.053826597
0.118372159
0.138292484
0.135900191
0.219039602
0.015833742
-0.057215176
0.170956255
0.027250712
0.14385905
-0.319660691
-0.645585952
-0.938042285
-0.873496723
-0.013140601
-0.099543619
-0.01053354
0.052895461
0.116324463
0.135900191
0.133549281
0.215250481
0.015559838
-0.056225422
0.167998918
0.026779307
0.141370462
-0.314130947
-0.634418094
-0.921815285
-0.858386283
-0.021179602
-0.160441236
-0.016977625
0.085255221
0.187488067
0.219039602
0.215250481
0.346933873
0.025078851
-0.090622346
0.270775308
0.043162035
0.227856411
-0.506306261
-1.022534889
-1.485752534
-1.383519688
0.431826604
0.572498277
0.359061737
0.281820664
0.417044518
0.266257893
0.205360276
-0.087069635
-0.248751898
-0.325992971
-0.367823223
-0.319764468
-0.377938176
-0.433387974
-0.521524685
-0.579698393
-0.498952726
-0.459065698
-0.50089595
-0.477352378
-0.494667446
-0.506534696
-0.275974015
-0.293289083
-0.318775879
-0.379673496
-0.309823466
-0.419751451
0.077752344
0.202080561
0.533425888
0.802121299
0.970032066
1.129771104
0.529539439
-0.589543746
-0.781593296
-0.490202779
-0.38475075
-0.569362761
-0.363503948
-0.280364537
0.118870302
0.339604193
0.445056223
0.502164245
0.436552866
0.515973508
0.591675379
0.712002487
0.791423129
0.681186513
0.626731443
0.683839466
0.651697015
0.67533611
0.691537665
0.376768714
0.400407809
0.435203213
0.518342624
0.422981087
0.573058354
-0.106150033
-0.275886965
-0.728250397
-1.095082125
-1.324319372
0.119550502 -0.60033746 -1.320225431 -1.54240031
0.056034984 -0.28138652 -0.618808033 -0.72294449
0.045695174
0.060580817
0.037995317
0.029821795
0.044130959
0.028174968
0.021730883
-0.009213564
-0.026322513
-0.034496035
-0.038922443
-0.033836945
-0.03999279
-0.045860396
-0.055186876
-0.061342721
-0.052798349
-0.04857757
-0.053003978
-0.050512636
-0.052344888
-0.05360066
-0.029203112
-0.031035364
-0.033732334
-0.040176419
-0.032785005
-0.044417402
0.008227624
0.021383829
0.056446242
0.084879144
0.102647183
-0.2294639
-0.30421398
-0.19079813
-0.14975379
-0.221609
-0.14148405
-0.10912429
0.046267039
0.132181716
0.173226057
0.195453805
0.169916356
0.200828686
0.230293585
0.277127647
0.308039976
0.265133365
0.243938207
0.266165955
0.253655378
0.262856254
0.26916227
0.146646997
0.155847874
0.169391041
0.2017508
0.16463391
0.223047413
-0.04131602
-0.10738151
-0.2834517
-0.426231
-0.51545538
-0.504622983
-0.669008778
-0.419591575
-0.329329372
-0.487348966
-0.311143063
-0.239979459
0.101747643
0.290685945
0.380948149
0.429830053
0.373669658
0.441650162
0.506447566
0.609442169
0.677422673
0.583065078
0.536453983
0.585335887
0.557823392
0.578057396
0.5919252
0.322497107
0.342731111
0.372514415
0.443678019
0.362052824
0.490512228
-0.090859663
-0.236146858
-0.62334965
-0.937341143
-1.133557937
-0.57934535
-0.768072675
-0.481722863
-0.378095026
-0.559513472
-0.357215768
-0.275514569
0.116813989
0.33372945
0.437357287
0.493477409
0.429001028
0.507047788
0.581440109
0.699685703
0.777732463
0.669402808
0.615889745
0.672009868
0.640423442
0.66365361
0.679574898
0.370251069
0.393481237
0.427674722
0.509375922
0.415664025
0.563145135
-0.104313765
-0.271114453
-0.715652543
-1.076138525
-1.301410244
-1.515718645
-0.710438423
-0.933770394
-1.237955088
-0.776425576
-0.609401528
-0.901806004
-0.575749005
-0.444065612
0.188277069
0.537894505
0.704918553
0.795371181
0.691450202
0.817243485
0.937146659
1.127731145
1.253524428
1.078922138
0.992671487
1.083124114
1.032214119
1.069655763
1.095317189
0.596758888
0.634200532
0.689312504
0.820995897
0.669954044
0.907659403
-0.168129607
-0.436973645
-1.153465989
-1.734485819
-2.097571606
-2.442987066
-1.145062036
MS
1.678986189
0.067603881
F
Significance F
24.83564791 0.000550542
t Stat
5.112884393
4.98353769
P-value
Lower 95%
0.000455387 0.461627171
0.000550542 0.059910407
Upper 95%
1.174736465 0.461627171 1.174736465
0.15680288 0.059910407
0.15680288
R=
F=
RSS
0.002858136
0.099291095
0.009360224
0.002663426
0.039986015
0.052130789
0.038682362
0.156052624
0.031190524
0.158604455
0.036139871
0.04907929
14.70450845
2.82
df =
(52-28-2*1)/2 = 11
0.676038811
10
9.12
9.01
8.94
8.89
8.85
8.81
8.79
6.39
6.26
6.16
6.09
6.04
5.96
5.19
5.05
4.95
4.88
4.82
4.77
4.74
4.53
4.39
4.28
4.21
4.15
4.1
4.06
4.12
3.97
3.87
3.79
3.73
3.68
3.64
3.84
3.69
3.58
3.5
3.44
3.39
3.35
3.63
3.48
3.37
3.29
3.23
3.18
3.14
3.48
3.33
3.22
3.14
3.07
3.02
2.98
3.36
3.2
3.09
3.01
2.95
2.9
2.85
3.26
3.11
2.91
2.85
2.8
2.75
3.18
3.03
2.92
2.83
2.77
2.71
2.67
3.11
2.96
2.85
2.76
2.7
2.65
2.6
3.06
2.9
2.79
2.71
2.64
2.59
2.54
3.01
2.85
2.74
2.66
2.59
2.54
2.49
2.96
2.81
2.7
2.61
2.55
2.49
2.45
2.93
2.77
2.66
2.58
2.51
2.46
2.41
2.9
2.74
2.63
2.54
2.48
2.42
2.38
2.87
2.71
2.6
2.51
2.45
2.39
2.35
2.82
2.66
2.55
2.46
2.4
2.34
2.3
2.78
2.62
2.51
2.42
2.36
2.3
2.25
2.74
2.59
2.47
2.39
2.32
2.27
2.22
2.71
2.56
2.45
2.36
2.29
2.24
2.19
2.69
2.53
2.42
2.33
2.27
2.21
2.16
2.64
2.49
2.37
2.29
2.22
2.16
2.11
2.61
2.45
2.34
2.25
2.18
2.12
2.08
2.58
2.42
2.31
2.22
2.15
2.1
2.05
2.56
2.4
2.29
2.2
2.13
2.07
2.03
2.53
2.37
2.25
2.17
2.1
2.04
1.99
2.5
2.35
2.23
2.14
2.07
2.02
1.97
2.49
2.33
2.21
2.13
2.06
1.95
2.46
2.31
2.19
2.1
2.03
1.97
1.93
2.42
2.26
2.14
2.06
1.98
1.93
1.88
2.39
2.23
2.12
2.03
1.96
1.9
1.85
2.38
2.22
2.11
2.02
1.95
1.89
1.84
2.37
2.21
2.1
2.01
1.94
1.88
1.83
10
-3.31396E+17 8.58835E+18 -1.7027E+18 4.04038E+16 -2.70376E+17 -5.62334E+17 1.47101E+17

-6.43224E+16
4.7838E+17 -9.676E+16 -2.16673E+15 -2.7569E+16 -6.92202E+16 1.09759E+16
-1.49355E+16 -3.76883E+18 5.31937E+17 -1.85256E+17 1.35414E+17 -6.66191E+16 -1.05155E+17
6.9143E+16 -1.72406E+18 3.77323E+17 -1.72463E+16 5.93284E+16 1.11595E+17 -2.96965E+16
-7.66099E+16 -4.83736E+17 7.34615E+16 -1.45799E+15 -2.36287E+16 -2.52982E+16 -2.31494E+16
-1.08271E+16
2.01536E+15
2.83975E+15
-1.77958E+17
4.05344E+16
-2.8213E+16
-1.71038E+17
-1.76287E+16
-5.53653E+15
-1.84419E+15
2.43738E+15
-2.06641E+15
-4.3305E+15
6.14798E+15
2.08925E+16
9.48364E+15
-1.53126E+15
-3.37965E+15
-1.4934E+16
1.65453E+16
-9.39192E+14
2.8989E+15
1.48537E+16
1.17858E+14
5.78687E+15
-5.30067E+15
-1.82015E+15
-5.92184E+15
8.9644E+15
1.01843E+16
-3.39685E+15
1.01333E+16
-8.02099E+15
-5.58564E+14
-7.63055E+15
-5.16039E+15
-1.52811E+16
-2.25083E+15
9.6812E+15
1.19444E+16
-4.45251E+16
1.62105E+15
1.86532E+15
-6.40122E+15
-4.61375E+14
-4.20569E+14
7.30325E+15
-2.97327E+17
-2.70427E+17
-2.25449E+17
3.9615E+18
-6.45093E+17
2.68569E+17
2.0991E+18
1.53417E+17
-1.19756E+17
1.22012E+17
-1.22145E+17
8.36913E+15
1.20938E+17
-3.30887E+16
-2.92069E+17
-3.50734E+17
-7.57807E+16
-1.82148E+17
-7.63512E+16
-4.06009E+16
-1.6706E+17
2.02829E+17
3.78172E+16
-2.6437E+17
5.8327E+16
-1.90756E+16
9.47392E+16
-1.04755E+17
6.30261E+16
-1.73364E+17
-2.42926E+17
-2.19589E+17
2.46587E+17
8.60434E+16
1.58221E+17
-3.05665E+16
1.13101E+17
-2.67611E+16
-2.25511E+17
1.0813E+17
1.5299E+18
-3.52626E+17
-7.20159E+16
1.20663E+17
9.0375E+15
-1.24705E+16
-6.45664E+16
3.76191E+16
5.77254E+16
5.5001E+16
-5.2964E+17
1.21941E+17
-8.5623E+16
-4.5221E+17
-2.318E+16
1.51272E+16
-2.5338E+16
3.28808E+16
-1.323E+15
-2.2363E+16
1.41491E+15
5.86919E+16
6.37992E+16
2.78481E+16
3.97943E+16
3.36988E+16
6.60304E+15
4.02729E+16
-3.9952E+16
-3.8016E+15
5.66825E+16
-8.1694E+15
-3.4477E+15
-1.9502E+16
2.60554E+16
-1.117E+16
3.16267E+16
4.57659E+16
4.10808E+16
-5.2248E+16
-1.7383E+16
-3.6492E+16
-4.9686E+14
-1.7006E+16
7.14824E+15
5.4096E+16
-1.6702E+16
-3.1177E+17
8.01297E+16
9.63164E+15
-2.6622E+16
-1.9126E+15
1.90841E+15
1.0362E+16
6.71378E+15
3.181E+15
-8.07192E+15
5.42421E+16
2.21788E+16
-1.00368E+16
-3.10055E+16
-6.15588E+15
-2.45399E+15
-1.5031E+14
4.31767E+14
4.06288E+14
5.14141E+15
-1.2076E+15
-2.20338E+15
-4.58473E+15
-2.47845E+15
-7.0703E+15
4.19233E+15
6.68274E+15
-1.44594E+15
1.56026E+15
1.70793E+15
-4.37408E+15
4.00917E+15
-3.81745E+14
-2.46344E+14
-2.16514E+15
-5.95247E+14
1.21775E+15
-1.23197E+15
-1.69023E+15
3.50071E+15
3.12006E+14
5.04812E+15
-4.52223E+15
-1.81512E+14
-7.58354E+14
-3.71353E+15
1.83837E+15
3.69309E+16
-3.3298E+15
-8.22964E+14
1.48419E+15
-9.08767E+14
-6.06981E+14
-2.63927E+15
-8.92541E+15
1.08172E+15
8.3033E+15
-1.85643E+17
2.41556E+16
-1.66853E+16
-1.17225E+17
-6.68836E+14
-4.58189E+15
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4.35121E+15
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-5.88614E+15
2.51065E+15
1.59598E+16
1.44255E+16
6.29505E+15
3.94519E+15
-4.768E+15
1.75935E+16
9.23661E+14
-2.30177E+15
3.71409E+15
7.5908E+15
2.37811E+15
-1.1453E+15
-2.36078E+15
3.12482E+15
1.50631E+15
9.25852E+15
2.87655E+15
8.53515E+15
-1.13419E+16
-1.75217E+15
-8.62756E+15
-1.76599E+15
-8.14519E+15
2.04788E+13
1.14934E+16
4.13006E+14
-7.18882E+16
1.16673E+16
2.36072E+15
-7.04016E+15
1.88016E+14
3.1238E+12
5.3386E+15
2.7158E+16
9.29037E+15
1.77944E+14
-2.08556E+17
9.58472E+16
-2.46509E+16
-2.68159E+17
-1.33924E+16
-3.70652E+15
-5.94032E+15
8.96669E+15
-6.10797E+14
-6.68923E+15
2.27875E+15
2.38128E+16
2.30496E+16
4.47406E+15
2.50834E+15
5.77046E+15
1.22188E+16
1.09395E+16
-7.3195E+15
9.67131E+15
1.33039E+16
1.41935E+15
-3.95429E+15
-7.36069E+15
-3.8408E+14
2.42288E+15
1.34928E+16
9.42101E+15
1.6953E+16
-1.59031E+16
-3.20152E+15
-9.79622E+15
-7.95258E+15
-1.56057E+16
-3.02138E+14
1.25362E+16
5.15418E+15
-6.84266E+16
2.00662E+16
4.25365E+15
-9.61745E+15
-1.67701E+15
-1.42589E+14
1.20036E+15
-7.16616E+15
-8.08356E+15
-9.37601E+15
5.82509E+16
-1.83275E+15
4.83386E+15
1.13947E+16
-2.19755E+15
-2.7086E+15
3.32006E+15
-3.69745E+15
7.28925E+14
4.34451E+15
-3.1745E+14
-5.5513E+15
-9.20558E+15
-4.603E+15
-3.68186E+15
-5.06701E+15
2.99224E+15
-4.48424E+15
6.806E+15
4.27031E+15
-7.13899E+15
2.79729E+15
-7.89348E+14
1.37393E+15
-3.8079E+15
4.17633E+15
-3.98602E+15
-6.82225E+15
-4.15793E+15
7.32525E+15
9.51044E+14
4.21792E+15
-6.76523E+14
3.5509E+14
-1.41717E+15
-7.88036E+15
5.23085E+15
4.53319E+16
-8.87998E+15
-2.36255E+15
2.21453E+15
-4.58563E+14
-4.7554E+14
-8.55277E+14
-0.042577905
-0.001531012
-0.011597835
-0.001227264
0.006162855
0.013552973
0.015833742
0.015559838
0.025078851
0.001812878
-0.006550829
0.019573568
0.003120059
0.016471084
-0.036599423
-0.073916104
-0.107400775
-0.100010657
0.153855118 -0.459711859 -0.073278835 -0.386845812

0.005532308
0.041908739
0.004434713
-0.022269455
-0.048973622
-0.057215176
-0.056225422
-0.090622346
-0.006550829
0.023671397
-0.070729022
-0.011274324
-0.059518208
0.132251892
0.267095598
0.388092344
0.361388176
-0.016530278
-0.125221342
-0.013250715
0.066540083
0.146330881
0.170956255
0.167998918
0.270775308
0.019573568
-0.070729022
0.211334993
0.03368715
0.177837607
-0.395162434
-0.798069088
-1.159601675
-1.079810878
-0.002634954
-0.01996049
-0.002112186
0.0106066
0.023325386
0.027250712
0.026779307
0.043162035
0.003120059
-0.011274324
0.03368715
0.005369788
0.028347611
-0.06298955
-0.127213541
-0.184842437
-0.172123651
-0.013910167
-0.105373292
-0.011150427
0.055993231
0.12313689
0.14385905
0.141370462
0.227856411
0.016471084
-0.059518208
0.177837607
0.028347611
0.149649683
-0.332527713
-0.671572158
-0.975800479
-0.908656821
0.859587211
1.736020234
0.03090896
0.234143762
0.024776704
-0.124419249
-0.273615203
-0.319660691
-0.314130947
-0.506306261
-0.036599423
0.132251892
-0.395162434
-0.06298955
-0.332527713
0.738890173
1.492260791
2.16826856
2.019072606
0.062423659
0.472876171
0.050038971
-0.251276812
-0.552592596
-0.645585952
-0.634418094
-1.022534889
-0.073916104
0.267095598
-0.798069088
-0.127213541
-0.671572158
1.492260791
3.013766253
4.379029893
4.07771411
-0.067499575
-0.089488211
-0.05612557
-0.044051883
-0.065188961
-0.041619239
-0.032100225
0.013610007
0.038882846
0.050956534
0.057495094
0.049982945
0.05907618
0.067743635
0.081520439
0.090613673
0.077992176
0.071757365
0.078295925
0.074615788
0.077322337
0.079177327
0.043137983
0.045844531
0.049828417
0.059347431
0.04842905
0.065612086
-0.012153605
-0.031587567
-0.083380737
-0.125380988
-0.151627415
-0.176596504
-0.082773239
0.243909489
0.323365353
0.202809563
0.159181332
0.235560094
0.150390981
0.115994057
-0.049179717
-0.140503034
-0.184131265
-0.207758331
-0.180613207
-0.213471579
-0.244791401
-0.294573836
-0.327432209
-0.281824471
-0.259295001
-0.282922066
-0.269623903
-0.279404008
-0.28610701
-0.155878957
-0.165659062
-0.18005482
-0.214451744
-0.174998211
-0.237089056
0.043917013
0.11414157
0.301296016
0.453063786
0.547905161
0.638130883
0.299100826
-0.728790083
-0.966200468
-0.605985437
-0.475626335
-0.703842483
-0.449361179
-0.346584789
0.146946682
0.41981646
0.550175562
0.620772122
0.539663769
0.637843041
0.731425194
0.880172771
0.978352043
0.842078267
0.774761269
0.84535783
0.805623544
0.834846037
0.854874293
0.465758995
0.494981488
0.537995337
0.640771727
0.522886425
0.70841095
-0.131221969
-0.341049643
-0.900258329
-1.353733287
-1.637114858
-1.906705073
-0.893699202
SUMMARY OUTPUT
Multiple R
0.926270961
R Square
0.857977893
Adjusted R Square0.843775683
-0.116170352
-0.154013963
-0.096595087
-0.07581563
-0.112193663
-0.07162892
-0.055246192
0.023423546
0.066919443
0.0876989
0.09895211
0.086023303
0.101673242
0.116590393
0.140301005
0.155950944
0.134228677
0.123498236
0.134751445
0.128417734
0.133075848
0.136268385
0.074242759
0.078900873
0.085757352
0.10214008
0.083348967
0.112921885
-0.020917
-0.054363881
-0.143502676
-0.215787339
-0.260958833
-0.303931962
-0.14245714
-0.613274134
-0.813054086
-0.509934482
-0.400237785
-0.592280821
-0.378135754
-0.291649805
0.123655084
0.353273983
0.462970681
0.522377423
0.454125047
0.536742537
0.61549157
0.7406621
0.82327959
0.708605717
0.651958715
0.711365457
0.677929204
0.702519823
0.719373525
0.391934455
0.416525074
0.452721067
0.539207016
0.440006974
0.596125169
-0.110422797
-0.286992001
-0.757564022
-1.139161506
-1.37762604
-1.604485199
-0.752044542
1.362720198
1.80663942
1.133095268
0.889344721
1.316072199
0.840233105
0.648057791
-0.274766652
-0.784989234
-1.028739781
-1.16074399
-1.00908442
-1.192663862
-1.367647432
-1.645781467
-1.829360909
-1.574550873
-1.448678919
-1.580683129
-1.506386407
-1.561027768
-1.598477384
-0.870894382
-0.925535743
-1.005964719
-1.198140033
-0.977713486
-1.324614498
0.24536397
0.637707959
1.683338229
2.53126344
3.061141383
3.565231709
1.671073718
2.752146388
3.648684565
2.288396439
1.796118429
2.657936202
1.69693273
1.308815934
-0.55491806
-1.585362342
-2.077640352
-2.344235731
-2.037944433
-2.408701026
-2.762097416
-3.323816235
-3.694572828
-3.179959102
-2.925748411
-3.19234379
-3.042294313
-3.152647871
-3.228281025
-1.75885617
-1.869209728
-2.031643893
-2.419760688
-1.974587772
-2.675188209
0.495536475
1.287913438
3.39966578
5.112133467
6.182273668
7.200333262
3.374896404
Standard Error
Observations
0.99703653
12
ANOVA
df
MS
60.05404825
0.994081841
F
Significance F
60.41157352 1.51466E-05

t Stat
-22.34061772 3.887670671 -5.746530406
0.648041958 0.083376383 7.772488245
P-value
Lower 95%
0.000186049 -31.00288774
1.51466E-05
0.4622678
Regression
Residual
Total
1
10
11
Intercept
X Variable 1
SS
60.05404825
9.940818415
69.99486667
RESIDUAL OUTPUT
Observation
1
2
3
4
5
6
7
8
9
10
11
12
Predicted Y
4.229102564
4.877144522
5.52518648
6.173228438
6.821270396
7.469312354
8.117354312
8.76539627
9.413438228
10.06148019
10.70952214
11.3575641
Residuals
0.980897436
0.372855478
-0.36518648
-0.623228438
-1.541270396
-0.229312354
-0.287354312
0.41460373
0.886561772
0.988519814
1.060477855
-1.657564103
RSS
0.96215978
0.139021207
0.133361165
0.388413686
2.375514434
0.052584156
0.082572501
0.171896253
0.785991775
0.977171422
1.124613282
2.747518754
9.940818415
11
12
13
14
15
16
17
8.76
8.74
8.73
8.71
8.7
8.69
8.68
5.94
5.91
5.89
5.87
5.86
5.84
5.83
4.7
4.68
4.66
4.64
4.62
4.6
4.59
4.03
3.98
3.96
3.94
3.92
3.91
3.6
3.57
3.55
3.53
3.51
3.49
3.48
3.31
3.28
3.26
3.24
3.22
3.2
3.19
3.1
3.07
3.05
3.03
3.01
2.99
2.97
2.94
2.91
2.89
2.86
2.85
2.83
2.81
2.82
2.79
2.76
2.74
2.72
2.7
2.69
2.72
2.69
2.66
2.64
2.62
2.6
2.58
2.63
2.6
2.58
2.55
2.53
2.51
2.5
2.57
2.53
2.51
2.48
2.46
2.44
2.43
2.51
2.48
2.45
2.42
2.4
2.38
2.37
2.46
2.42
2.4
2.37
2.35
2.33
2.32
2.41
2.38
2.35
2.33
2.31
2.29
2.27
2.37
2.34
2.31
2.29
2.27
2.25
2.23
2.34
2.31
2.28
2.26
2.23
2.21
2.2
2.31
2.28
2.25
2.23
2.2
2.18
2.17
2.26
2.23
2.2
2.17
2.15
2.13
2.11
2.22
2.18
2.15
2.13
2.11
2.09
2.07
2.18
2.15
2.12
2.09
2.07
2.05
2.03
2.15
2.12
2.09
2.06
2.04
2.02
2.13
2.09
2.06
2.04
2.01
1.99
1.98
2.08
2.04
2.01
1.99
1.96
1.94
1.92
2.04
1.97
1.95
1.92
1.9
1.89
2.01
1.97
1.94
1.92
1.89
1.87
1.86
1.99
1.95
1.92
1.89
1.87
1.85
1.83
1.95
1.92
1.89
1.86
1.84
1.82
1.8
1.93
1.89
1.86
1.84
1.81
1.79
1.77
1.91
1.88
1.84
1.82
1.79
1.77
1.75
1.89
1.85
1.82
1.79
1.77
1.75
1.73
1.84
1.8
1.77
1.74
1.72
1.69
1.67
1.81
1.77
1.74
1.71
1.69
1.66
1.64
1.8
1.76
1.73
1.7
1.68
1.65
1.63
1.79
11
1.75
12
1.72
13
1.69
14
1.67
15
1.64
16
6.22748E+18 1.08891E+17 -5.89749E+17 -1.95119E+18 6.51217E+16 -7.61306E+16

6.38642E+17 -1.00515E+17 -1.08931E+17 -2.05349E+17 2.10424E+16 -5.29037E+15
-1.87652E+18 -3.91443E+17 -6.69736E+16 2.02775E+17 -7.56534E+16 -1.17373E+16
-1.19466E+18 6.23873E+16 1.21414E+17 4.41891E+17 -7.06062E+15
1.4437E+16
2.73822E+17 -1.32218E+17 -9.8614E+16 -8.60908E+16 1.90757E+16 -1.5554E+15
1.62
17
1.23417E+17
1.66363E+16
9.70913E+15
-2.1322E+16
1.12782E+16
3.74011E+16
-5.19186E+16
-1.9724E+16
2.64501E+18
-4.43686E+17
2.64056E+17
2.11894E+18
9.43641E+16
4.65065E+16
8.25056E+16
-7.00129E+16
4.69932E+15
1.29004E+17
-4.9929E+16
-2.46189E+17
-2.16341E+17
-7.26917E+16
-7.64125E+16
-6.81104E+15
-1.59705E+17
-8.19458E+16
4.57454E+16
-7.135E+16
-1.21516E+17
2.58364E+16
2.47527E+16
4.21763E+16
-9.69368E+15
-1.34172E+16
-1.41774E+17
-4.40274E+16
-1.49604E+17
1.79607E+17
2.59548E+16
1.26987E+17
5.91574E+15
1.44207E+17
-2.0041E+16
-1.85876E+17
-2.0659E+16
1.17811E+18
-1.89722E+17
-2.79059E+16
1.12788E+17
-9.10959E+15
3.15337E+15
-8.12623E+16
-4.18374E+16
-1.21756E+16
-3.49263E+16
1.45495E+17
1.81827E+16
-2.43706E+16
-3.30934E+17
-6.92412E+15
-4.96793E+15
6.65211E+15
-7.02589E+14
-2.69562E+14
-1.87114E+15
4.59306E+15
1.11504E+16
-9.59958E+15
2.23505E+15
-1.46992E+16
-1.92857E+16
1.79404E+16
3.30991E+15
2.21607E+16
1.96084E+16
-1.41056E+16
-2.87324E+15
-5.57574E+15
3.10952E+14
-1.70955E+16
1.86882E+16
1.7101E+15
-1.89099E+16
2.43503E+15
3.67996E+15
4.86838E+15
-2.23847E+15
-6.45901E+15
-6.69269E+15
-6.16172E+15
-3.94723E+15
3.10557E+16
1.46274E+16
-8.29461E+15
-5.16628E+15
-5.71163E+15
2.52619E+15
-2.98806E+15
2.2985E+15
9.06237E+15
1.96262E+16
-9.29001E+15
-2.42643E+17
1.34307E+17
-4.56528E+16
-3.9168E+17
-1.8383E+16
-1.37121E+16
-5.27777E+15
7.48059E+15
-3.19214E+14
-5.75577E+15
5.44689E+15
2.79308E+16
1.73072E+16
1.56137E+15
-3.77784E+14
-4.70323E+15
2.12157E+16
1.09442E+16
4.14682E+15
1.86069E+16
5.31553E+15
5.88435E+15
-8.39501E+15
-5.95718E+15
-7.45214E+15
1.19004E+16
1.61995E+16
1.10376E+15
1.67434E+16
-1.62398E+16
-1.58386E+15
-1.3609E+16
-1.12531E+16
-2.43141E+16
-1.16169E+15
1.43542E+16
1.81492E+16
-6.33754E+16
1.66533E+16
3.41178E+15
-1.22787E+16
-1.55843E+15
-1.4429E+15
3.76419E+15
3.92293E+16
6.55926E+16
4.27447E+16
-9.09694E+17
3.03433E+17
-1.11155E+17
-9.20679E+17
-3.17215E+16
-2.74993E+16
-2.78061E+16
3.33842E+16
-6.30866E+15
-3.88857E+16
1.51502E+16
1.05043E+17
9.31884E+16
1.69121E+16
1.31739E+16
1.10678E+16
3.41203E+15
4.53529E+16
-3.41193E+16
1.98794E+16
5.81667E+16
-1.22544E+15
-1.03466E+16
-2.81197E+16
7.98377E+15
2.08428E+15
5.37607E+16
5.59754E+16
6.6561E+16
-7.02402E+16
-1.18788E+16
-3.65199E+16
-2.45999E+16
-5.93031E+16
1.377E+15
5.40704E+16
1.08912E+16
-3.44783E+17
8.31473E+16
2.41212E+16
-3.72293E+16
-7.56973E+15
-1.17983E+15
2.00869E+16
3.73612E+15
-6.83478E+15
1.86419E+15
1.52124E+16
4.97506E+15
-6.45585E+13
2.23846E+16
2.67717E+15
3.77611E+15
-1.4329E+15
1.08701E+15
-1.48613E+15
3.22916E+15
-2.45927E+15
2.12554E+15
1.96774E+15
9.11848E+14
4.67534E+15
3.55974E+15
-3.41818E+15
5.7737E+15
-5.60709E+15
-2.37285E+13
3.62884E+15
3.78533E+14
-1.84087E+14
-3.67706E+15
4.31434E+15
7.33874E+14
-1.41496E+15
5.17327E+15
2.58545E+15
1.64148E+14
-2.59028E+15
2.72699E+15
-2.42005E+15
3.59598E+15
-7.35398E+14
-1.27692E+15
-3.03095E+15
-6.09223E+14
6.5893E+15
8.00593E+14
-2.92095E+14
-1.23759E+15
-2.82096E+13
-1.48998E+15
-1.26001E+15
-1.45095E+15
1.27052E+14
-6.39026E+15
1.59183E+15
-6.23678E+15
-3.38225E+16
-3.77378E+15
-1.65877E+15
-5.42618E+14
1.18851E+15
-3.85893E+14
2.88665E+14
-4.83587E+14
2.29633E+15
1.0946E+15
1.73772E+15
4.61382E+14
-1.28618E+14
4.72806E+15
1.97118E+15
3.56813E+14
1.58516E+14
-8.1585E+13
4.73377E+14
-1.2129E+15
-1.71172E+14
-1.50343E+14
-3.47817E+13
5.99757E+14
2.66936E+14
1.32476E+15
-5.85015E+14
-1.36246E+14
-1.09886E+15
-7.36702E+14
7.29472E+14
-6.07921E+14
1.73471E+15
1.16192E+15
-3.43175E+15
1.65499E+15
2.8239E+14
-7.9989E+14
2.6035E+14
-2.97146E+14
-1.90954E+14
-2.79321E+15
-4.80477E+15
-9.65658E+14
5.7009E+16
-2.47734E+16
7.11529E+15
6.13004E+16
2.27203E+15
1.90628E+15
1.60446E+15
-1.87888E+15
2.64272E+14
1.7151E+15
-1.23689E+15
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1.94766E+14
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3.75192E+14
-2.7397E+15
-2.23043E+15
-7.92983E+14
1.23889E+15
1.63166E+15
7.57236E+14
-1.77887E+15
-3.42288E+15
-1.36973E+15
-3.98853E+15
3.83812E+15
7.10259E+14
2.72579E+15
2.4976E+15
5.57842E+15
-1.5532E+14
-3.41542E+15
-2.34362E+15
1.75299E+16
-4.19509E+15
-9.46389E+14
2.5409E+15
4.69438E+14
9.48056E+13
-1.14922E+15
2.522453257
2.34888628
1.585319303
2.101752326
1.31818535
1.034618373
1.531051396
0.090702147
0.687093397
0.072707082
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0.388092344
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2.16826856
4.379029893
6.362770434
5.924955848
0.084461041
0.639815326
0.067704195
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0.361388176
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2.019072606
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5.517266757
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0.431826604
0.045695174
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0.243909489
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1.362720198
2.752146388
3.99889384
3.723734761
0.075574621
0.572498277
0.060580817
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0.323365353
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-0.813054086
1.80663942
3.648684565
5.301572001
4.936777204
0.04739919
0.359061737
0.037995317
-0.190798129
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0.202809563
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1.133095268
2.288396439
3.325060929
3.096267482
0.037202714
0.281820664
0.029821795
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0.889344721
1.796118429
2.609776484
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0.235560094
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1.316072199
2.657936202
3.86200558
3.596265618
3.99889384
5.301572001
3.325060929
2.609776484
3.86200558
2.465658756
1.901721508
-0.80630101
-2.303545964
-3.018830408
-3.406195929
-2.961151875
-3.499864592
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-4.82953535
-5.368248067
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-4.251139166
-4.638504687
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-2.715978808
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-2.869094068
-3.887072904
0.720019024
1.87134999
4.939745431
7.427976623
8.98290011
10.46215
4.903755302
3.723734761
4.936777204
3.096267482
2.430200901
3.596265618
2.295999741
1.770866336
-0.750820407
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4.599847485
6.91686648
8.36479755
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4.566333793
2.513237294
3.331948534
2.08974468
1.640200478
2.427205332
1.549624918
1.195199874
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0.452519806
1.176111888
3.104546641
4.668357954
5.645601125
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3.081927452
3.331948534
4.417362842
2.770499125
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3.217890833
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1.584547738
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-2.263001212
-2.459655824
-2.929538238
-2.390579535
-3.238777367
0.599932488
1.559241657
4.115882593
6.189120494
7.484710035
8.717247006
4.085894985
2.08974468
2.770499125
1.737612616
1.363818781
2.01820952
1.288505641
0.993802927
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0.376268035
0.977931359
2.581415549
3.881717108
4.694290088
5.467317508
2.562607802
1.640200478
2.174511572
1.363818781
1.070435177
1.584053904
1.011323339
0.780016837
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0.295325556
0.767559548
2.026103503
3.046685232
3.684458163
4.291192544
2.011341664
2.427205332
3.217890833
2.01820952
1.584053904
2.344118377
1.496578884
1.154286352
-0.489399866
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0.43702936
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5.452343553
6.350202651
2.976428356
Upper 95%
-13.67834769 -31.00288774 -13.67834769
0.833816116
0.4622678 0.833816116
18
19
20
22
24
26
28
8.67
8.67
8.66
8.65
8.64
8.63
8.62
5.82
5.81
5.8
5.79
5.77
5.76
5.75
4.58
4.57
4.56
4.54
4.53
4.52
4.5
3.9
3.88
3.87
3.86
3.84
3.83
3.82
3.47
3.46
3.44
3.43
3.41
3.4
3.39
3.17
3.16
3.15
3.13
3.12
3.1
3.09
2.96
2.95
2.94
2.92
2.9
2.89
2.87
2.8
2.79
2.77
2.75
2.74
2.72
2.71
2.67
2.66
2.65
2.63
2.61
2.59
2.58
2.57
2.56
2.54
2.52
2.51
2.49
2.48
2.48
2.47
2.46
2.44
2.42
2.41
2.39
2.41
2.4
2.39
2.37
2.35
2.33
2.32
2.35
2.34
2.33
2.31
2.29
2.27
2.26
2.3
2.29
2.28
2.25
2.24
2.22
2.21
2.26
2.24
2.23
2.21
2.19
2.17
2.16
2.22
2.2
2.19
2.17
2.15
2.13
2.12
2.18
2.17
2.16
2.13
2.11
2.1
2.08
2.15
2.14
2.12
2.1
2.08
2.07
2.05
2.1
2.08
2.07
2.05
2.03
2.01
2.05
2.04
2.03
1.98
1.97
1.95
2.02
1.99
1.97
1.95
1.93
1.91
1.99
1.97
1.96
1.93
1.91
1.9
1.88
1.96
1.95
1.93
1.91
1.89
1.87
1.85
1.91
1.89
1.88
1.85
1.83
1.82
1.8
1.87
1.85
1.84
1.81
1.79
1.77
1.76
1.84
1.82
1.81
1.78
1.76
1.74
1.73
1.81
1.8
1.78
1.76
1.74
1.72
1.7
1.78
1.76
1.75
1.72
1.7
1.68
1.66
1.75
1.74
1.72
1.7
1.67
1.65
1.64
1.73
1.72
1.7
1.68
1.65
1.63
1.62
1.71
1.69
1.68
1.65
1.63
1.61
1.59
1.66
1.64
1.62
1.6
1.57
1.55
1.53
1.62
1.61
1.59
1.56
1.54
1.52
1.5
1.61
1.6
1.58
1.55
1.53
1.51
1.49
1.61
18
1.59
19
1.57
20
1.54
22
1.52
24
1.5
26
1.48
28
-2.70663E+16 -8.15251E+16 1.35897E+17 -1.46168E+16 1.07147E+17 8.47806E+16 -1.32122E+17

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0.880172771
0.140301005
0.7406621
-1.645781467
-3.323816235
-4.82953535
-4.497220828
-2.12818535 -1.831752326 -1.685319303 -1.83888628

-0.076525097
-0.579698393
-0.061342721
0.308039976
0.677422673
0.791423129
0.777732463
1.253524428
0.090613673
-0.327432209
0.978352043
0.155950944
0.82327959
-1.829360909
-3.694572828
-5.368248067
-4.998865369
-0.065865985
-0.498952726
-0.052798349
0.265133365
0.583065078
0.681186513
0.669402808
1.078922138
0.077992176
-0.281824471
0.842078267
0.134228677
0.708605717
-1.574550873
-3.179959102
-4.620509622
-4.302577908
-0.06060056
-0.459065698
-0.04857757
0.243938207
0.536453983
0.626731443
0.615889745
0.992671487
0.071757365
-0.259295001
0.774761269
0.123498236
0.651958715
-1.448678919
-2.925748411
-4.251139166
-3.958623389
-0.06612251
-0.50089595
-0.05300398
0.266165955
0.585335887
0.683839466
0.672009868
1.083124114
0.078295925
-0.28292207
0.84535783
0.134751445
0.711365457
-1.58068313
-3.19234379
-4.63850469
-4.31933475
-2.199605833
-2.916148606
-1.828961634
-1.435516872
-2.124309957
-1.356244401
-1.046048704
0.443508749
1.267073681
1.660518443
1.873590231
1.62879216
1.925113013
2.207559022
2.656503161
2.952824013
2.541527812
2.338354274
2.551426062
2.431501589
2.519699779
2.580148281
1.405735649
1.493933839
1.623756562
1.933952259
1.578155435
2.138098327
-0.396049035
-1.029342743
-2.717124609
-4.085785059
-4.941076274
-5.754742956
-2.69732811
-2.52232449
-3.343995973
-2.097300641
-1.646131006
-2.435981461
-1.555227949
-1.199521399
0.508578838
1.452974405
1.90414404
2.148476993
1.867762985
2.207559022
2.531444544
3.046256235
3.386052271
2.914412096
2.68142963
2.925762583
2.788243201
2.889381528
2.958698827
1.611980385
1.713118712
1.861988581
2.217695132
1.809697012
2.451792814
-0.454155997
-1.180364396
-3.115771855
-4.685237493
-5.666014115
-6.599059195
-3.093070881
-3.035281465
-4.024053619
-2.523821889
-1.980899345
-2.931379132
-1.871509628
-1.443464186
0.612006872
1.748461111
2.291383655
2.585405811
2.247603903
2.656503161
3.046256235
3.665763513
4.074662771
3.507106659
3.226743302
3.520765457
3.355279203
3.476985705
3.56039984
1.939803622
2.061510124
2.240655177
2.668700618
2.177729241
2.950405989
-0.546516233
-1.420411285
-3.749416301
-5.63805909
-6.818293082
-7.941088522
-3.722098703
-3.373853316
-4.47291851
-2.805342749
-2.201859663
-3.25836115
-2.08026802
-1.604476055
0.680273457
1.943494001
2.546977087
2.873796077
2.498313902
2.952824013
3.386052271
4.074662771
4.529172882
3.898308465
3.586671851
3.913490841
3.729545348
3.864827656
3.957546258
2.156179899
2.291462208
2.490590077
2.966382042
2.420645039
3.279510367
-0.607477635
-1.578851708
-4.167646647
-6.266958955
-7.578842684
-8.826880852
-4.137281895
-2.903912322
-3.849889714
-2.414589081
-1.895164611
-2.804506956
-1.790509359
-1.380990029
0.585518779
1.67278647
2.192210939
2.473507606
2.150326006
2.541527812
2.914412096
3.507106659
3.898308465
3.355316586
3.087087555
3.368384222
3.210060331
3.326499288
3.4063032
1.85584754
1.972286498
2.143678026
2.553197356
2.083475569
2.822710318
-0.522862622
-1.358934874
-3.587138894
-5.394039879
-6.523192503
-7.597392558
-3.561003621
-2.671769224
-3.542123767
-2.221563215
-1.743662315
-2.580310472
-1.64737336
-1.270591618
0.538711531
1.539061415
2.016962315
2.275771705
1.978425726
2.338354274
2.68142963
3.226743302
3.586671851
3.087087555
2.840301154
3.099110545
2.953443302
3.060573955
3.133998223
1.70748831
1.814618963
1.972309195
2.349090937
1.916919413
2.597058629
-0.481064201
-1.250299585
-3.300377641
-4.962832256
-6.001718729
-6.990045623
-3.276331661
-2.91522192
-3.86488352
-2.42399295
-1.90254553
-2.81542941
-1.79748269
-1.38636844
0.587799144
1.679301314
2.200748737
2.483140944
2.158700678
2.551426062
2.925762583
3.520765457
3.913490841
3.368384222
3.099110545
3.381502752
3.222562251
3.339454693
3.419569409
1.863075335
1.979967777
2.152026807
2.563141054
2.091589885
2.833703662
-0.52489897
-1.36422739
-3.60110939
-5.41504754
-6.54859777
-7.62698141
-3.57487233
80
100
200
500
1000
>1000
8.56
8.55
8.54
8.53
8.53
8.54
5.67
5.66
5.65
5.64
5.63
5.63
4.42
4.41
4.39
4.37
4.37
4.36
3.72
3.71
3.69
3.68
3.67
3.67
3.29
3.27
3.25
3.24
3.23
3.23
2.99
2.97
2.95
2.94
2.93
2.93
2.77
2.76
2.73
2.72
2.71
2.71
df1/df2
3
4
5
6
7
8
9
2.6
2.59
2.56
2.55
2.54
2.54
2.47
2.46
2.43
2.42
2.41
2.41
2.36
2.35
2.32
2.31
2.3
2.3
2.27
2.26
2.23
2.22
2.21
2.21
2.2
2.19
2.16
2.14
2.14
2.13
2.14
2.12
2.1
2.08
2.07
2.07
2.08
2.07
2.04
2.02
2.02
2.01
2.03
2.02
1.99
1.97
1.97
1.96
1.99
1.98
1.95
1.93
1.92
1.92
1.96
1.94
1.91
1.89
1.88
1.88
1.92
1.91
1.88
1.86
1.85
1.84
1.86
1.85
1.82
1.8
1.79
1.78
1.82
1.8
1.77
1.75
1.74
1.73
1.78
1.76
1.73
1.71
1.7
1.69
1.74
1.73
1.69
1.67
1.66
1.66
1.71
1.7
1.66
1.64
1.63
1.62
1.65
1.63
1.6
1.57
1.57
1.56
1.61
1.59
1.55
1.53
1.52
1.51
1.57
1.55
1.51
1.49
1.48
1.47
1.54
1.52
1.48
1.46
1.45
1.44
1.5
1.48
1.44
1.41
1.4
1.39
1.47
1.45
1.4
1.37
1.36
1.35
1.45
1.43
1.38
1.35
1.34
1.33
1.41
1.39
1.34
1.31
1.3
1.28
1.35
1.32
1.26
1.22
1.21
1.19
1.3
1.28
1.21
1.16
1.14
1.12
1.29
1.26
1.19
1.13
1.11
1.08
1.28
80
1.25
100
1.17
200
1.11
500
1.08
1000
1.03
>1000
10
11
12
13
14
15
16
17
18
19
20
22
24
26
28
30
35
40
45
50
60
70
80
100
200
500
1000
>1000
df1\df2
8.33352E+16 -6.24436E+16 -5.43074E+16 1.97972E+16 5.95164E+16 8.91578E+16 1.56259E+17

1.71752E+16 -9.67623E+15 -7.56148E+15 -7.63813E+15 1.30617E+16 2.16787E+16 3.93245E+15
9.33403E+15 3.15453E+16 -1.21362E+16 -2.92887E+16 3.37169E+16 2.03095E+16 -7.0345E+16
-2.25076E+16 1.65771E+16 1.30763E+16 -1.11109E+15 -1.06455E+16 -2.96111E+16 -2.2486E+16
1.8434E+16 -8.07314E+15 -8.08319E+15 -1.32098E+16 1.11397E+16 1.97371E+16 -1.4001E+16
1.89893E+15
9.89376E+14
4.01895E+15
3.80094E+16
-2.86643E+16
1.00045E+16
7.44381E+16
1.09992E+15
2.13005E+15
7.06945E+14
-1.41912E+15
2.1213E+14
4.12992E+14
-1.71231E+14
-5.06268E+15
-2.54821E+15
-1.67108E+15
-3.97034E+14
2.37791E+14
-8.97624E+15
-2.6833E+15
-1.62448E+15
-3.28452E+15
1.48582E+13
-7.28377E+14
1.17598E+15
1.07651E+15
1.2556E+15
-2.21063E+15
-2.74248E+15
9.52044E+13
-2.38201E+15
2.2728E+15
2.88893E+14
1.62541E+15
1.72761E+15
2.45319E+15
8.18409E+14
-2.16535E+15
-4.30308E+15
1.01724E+16
-3.25164E+15
4.1045E+14
2.47158E+15
2.61099E+14
4.82959E+14
-3.9142E+14
-2.34606E+15
6.8876E+14
4.41195E+14
-2.64389E+16
5.79363E+15
-4.67056E+15
-2.73292E+16
-2.32287E+15
-6.89355E+14
-3.40529E+14
5.43232E+14
1.12729E+14
-1.15312E+15
9.28871E+14
2.35521E+15
1.75312E+15
3.62125E+14
3.68439E+14
-1.03468E+15
1.77124E+15
3.14207E+14
8.46797E+14
1.22872E+15
3.4476E+14
-2.49802E+14
-1.87716E+14
3.89798E+13
-7.5021E+14
1.07981E+15
1.71199E+15
-4.22762E+14
1.28226E+15
-1.57988E+15
1.41431E+14
-2.24014E+15
5.51468E+13
-1.88144E+15
-1.21388E+14
2.48445E+15
1.31426E+15
-1.30941E+16
1.1608E+13
3.08966E+14
-1.22779E+15
3.29574E+14
-7.90781E+13
1.23474E+15
2.1178E+15
6.65854E+13
5.83433E+14
-3.32692E+16
8.95543E+15
-3.22987E+15
-2.55194E+16
-6.65915E+14
-6.72452E+14
-4.20626E+14
7.26989E+14
-1.78157E+14
-5.7467E+14
4.0019E+14
2.86166E+15
1.95789E+15
1.6538E+14
-1.01745E+14
-1.24927E+15
1.87096E+15
3.19787E+14
-1.70932E+14
1.87745E+15
1.14535E+15
3.18871E+14
-3.67424E+14
-5.16487E+14
-4.13042E+12
2.33879E+13
1.14903E+15
4.3712E+14
1.70136E+15
-1.58428E+15
-4.6813E+14
-1.03464E+15
-1.64222E+14
-1.78655E+15
-3.13604E+14
1.17123E+15
9.45889E+14
-9.5136E+15
2.24113E+15
5.44441E+14
-9.77584E+14
-7.14445E+12
-3.559E+13
4.63834E+14
-1.68606E+15
-2.08324E+15
-3.20856E+15
4.83905E+15
7.69595E+15
-1.47645E+15
-2.01955E+16
7.77592E+13
-1.5448E+15
7.49757E+14
-6.46221E+14
-6.07535E+12
4.6247E+14
1.04697E+14
1.20604E+14
-1.59458E+15
-7.70756E+14
-9.57772E+14
-1.96572E+15
2.28921E+15
-6.23856E+14
2.43131E+15
1.72584E+15
-1.72474E+15
8.25479E+14
-3.58277E+14
2.05831E+14
-1.97626E+15
1.85747E+15
-7.07622E+13
-1.97639E+15
-1.81858E+14
4.82959E+14
2.91391E+14
6.10995E+13
-1.3239E+15
-1.44704E+15
-6.36033E+14
-8.45033E+14
2.7159E+15
7.59215E+15
-1.67419E+15
-5.36818E+14
-2.12989E+14
-4.42927E+13
-3.27374E+14
-1.4996E+14
9.06913E+14
-1.69082E+15
1.25855E+15
2.86014E+16
-1.71583E+16
7.08987E+15
5.59505E+16
2.46086E+15
1.21813E+15
9.79035E+14
-1.01922E+15
2.57119E+14
1.03688E+14
-1.20422E+14
-4.05712E+15
-3.0995E+15
-5.59925E+14
-3.64813E+14
-2.85309E+14
-6.31486E+14
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-6.12459E+14
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1.46448E+15
9.56398E+14
9.9971E+14
-2.41101E+15
-2.18983E+15
-2.20657E+14
-2.67457E+15
1.94298E+15
1.47192E+14
1.24641E+15
3.03451E+15
2.50106E+15
4.98895E+14
-1.79155E+15
-2.74489E+15
3.74501E+15
-1.80516E+15
-3.06587E+13
1.99548E+15
5.03712E+14
3.72955E+14
-3.53968E+14
-2.62394E+15
-2.48403E+15
1.05697E+15
5.17874E+16
-3.01019E+16
9.98448E+15
8.07642E+16
4.52084E+15
2.27896E+15
3.90699E+14
-1.95253E+15
4.09242E+14
2.3251E+14
-6.89669E+14
-5.40833E+15
-2.58196E+15
-6.76448E+14
-7.34711E+14
8.77322E+14
-6.54078E+15
-3.61077E+15
-8.43487E+14
-4.0646E+15
-1.35752E+15
-1.89669E+15
1.305E+15
1.45973E+15
8.5968E+14
-2.07562E+15
-2.35242E+15
-4.11127E+14
-3.26382E+15
2.95161E+15
7.59397E+14
2.04754E+15
2.18799E+15
3.07527E+15
1.19054E+15
-2.02493E+15
-3.91537E+15
7.10192E+15
-3.2481E+15
-4.67419E+14
2.10679E+15
4.44364E+14
3.30236E+14
2.37245E+13
-7.7838E+15
-6.0072E+15
-6.9032E+15
6.65762E+16
-6.6559E+15
4.18437E+15
1.88685E+16
6.90517E+14
-1.2341E+15
2.85053E+15
-2.2573E+15
6.90584E+13
2.24645E+15
-6.2624E+14
-4.3991E+15
-6.8381E+15
-1.7653E+15
-3.1302E+15
-2.2047E+15
1.43341E+15
-1.2001E+15
4.10885E+15
1.54456E+15
-5.9786E+15
5.57224E+14
-8.4652E+13
1.55679E+15
-2.6652E+15
2.39093E+15
-2.9964E+15
-5.2148E+15
-3.4285E+15
4.58048E+15
1.45458E+15
3.67052E+15
-4.0402E+14
2.18663E+15
-1.5893E+15
-4.6633E+15
3.66395E+15
2.67605E+16
-5.6875E+15
-1.8875E+15
1.63797E+15
9.29369E+13
-3.9395E+14
-8.3599E+14
-1.752453257 -1.816020234 -1.859587211 -1.013154188 -1.076721165 -1.170288141 -1.393855118

-0.063014557
-0.477352378
-0.050512636
0.253655378
0.557823392
0.651697015
0.640423442
1.032214119
0.074615788
-0.269623903
0.805623544
0.128417734
0.677929204
-1.506386407
-3.042294313
-4.420481426
-4.116313412
-0.065300292
-0.494667446
-0.052344888
0.262856254
0.578057396
0.67533611
0.66365361
1.069655763
0.077322337
-0.279404008
0.834846037
0.133075848
0.702519823
-1.561027768
-3.152647871
-4.580826154
-4.265625012
-0.06686687
-0.506534696
-0.05360066
0.26916227
0.5919252
0.691537665
0.679574898
1.095317189
0.079177327
-0.28610701
0.854874293
0.136268385
0.719373525
-1.598477384
-3.228281025
-4.690721817
-4.367958886
-0.036430907
-0.275974015
-0.029203112
0.146646997
0.322497107
0.376768714
0.370251069
0.596758888
0.043137983
-0.155878957
0.465758995
0.074242759
0.391934455
-0.870894382
-1.75885617
-2.555634081
-2.379783971
-0.038716643
-0.293289083
-0.031035364
0.155847874
0.342731111
0.400407809
0.393481237
0.634200532
0.045844531
-0.165659062
0.494981488
0.078900873
0.416525074
-0.925535743
-1.869209728
-2.715978808
-2.529095571
-0.042081116
-0.318775879
-0.033732334
0.169391041
0.372514415
0.435203213
0.427674722
0.689312504
0.049828417
-0.18005482
0.537995337
0.085757352
0.452721067
-1.005964719
-2.031643893
-2.951997134
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-6.266958955
-5.394039879
-4.962832256
-5.415047539
-5.160524498
-5.347712909
-5.47600646
-2.983478723
-3.170667134
-3.446197836
-4.104545131
-3.349415776
-4.537816814
0.840559083
2.184637042
5.766719697
8.671511457
10.4867483
12.21364285
5.724704376
5.645601125
7.484710035
4.694290088
3.684458163
5.452343553
3.480994096
2.684832734
-1.138328265
-3.252124764
-4.261956689
-4.808835728
-4.180526672
-4.941076274
-5.666014115
-6.818293082
-7.578842684
-6.523192503
-6.001718729
-6.548597768
-6.240794557
-6.467167752
-6.622317426
-3.608020422
-3.834393617
-4.167602093
-4.963763455
-4.050560317
-5.487733367
1.016516161
2.641954508
6.973886649
10.4867483
12.68197481
14.77036605
6.923076119
2.90971E+16
1.79668E+16
4.62187E+16
-1.30314E+16
2.72338E+16
-3.08438E+16
-1.71632E+15
8.46253E+15
-9.25112E+14
-1.52242E+15
3.86504E+17 1.56761E+17 -9.30232E+16 8.17014E+16 -5.14232E+16

-8.363E+14 8.30324E+15 -1.48068E+16 1.22699E+16 -2.26218E+14
-3.3269E+17 -1.30895E+17 -1.02717E+16 -2.41776E+16 3.81079E+16
-4.2342E+16 -2.77645E+16 1.67315E+16 -2.07255E+16
5.5559E+15
-3.0806E+16 -3.29423E+15 -1.03981E+16 8.70679E+15 4.35053E+15
8.70683E+15
-1.39213E+13
4.68491E+15
-1.85657E+16
-1.80042E+16
3.65851E+15
5.47362E+16
4.26955E+15
2.68516E+15
-9.48194E+14
2.97909E+14
-8.20222E+14
-5.24547E+14
-9.85314E+14
-1.29885E+15
2.4075E+15
2.81658E+14
1.33211E+15
2.87727E+15
-3.95391E+15
5.03399E+14
-5.11186E+15
-3.46602E+15
3.73283E+15
-7.68639E+14
1.29688E+15
-3.95086E+14
3.61222E+15
-3.58203E+15
-7.27563E+14
3.401E+15
5.64059E+14
-9.41369E+14
-7.74922E+14
7.29438E+14
6.83741E+14
1.95688E+15
1.43616E+15
-5.09501E+13
-5.83539E+15
-3.11024E+15
3.63951E+15
1.05054E+15
7.6264E+14
-2.59439E+14
7.04954E+14
-4.24658E+14
-7.61409E+14
-1.42896E+15
-3.78497E+14
5.62441E+15
4.56011E+15
-9.03063E+14
-1.0157E+16
1.83677E+15
-3.39367E+14
-2.4709E+14
3.32375E+14
2.99268E+14
-6.35853E+12
-2.19137E+14
4.77367E+14
5.41842E+14
7.14887E+14
2.7574E+14
6.19562E+14
2.65915E+15
3.68207E+13
-1.7972E+14
4.80238E+14
-2.07229E+14
-3.40494E+14
-3.93304E+14
2.19175E+14
-3.85463E+14
2.53454E+14
3.10817E+14
-1.64597E+14
-4.25737E+14
-1.25271E+14
6.81426E+14
2.75585E+14
-5.12298E+14
8.78912E+14
-1.43342E+14
-2.80144E+14
5.78872E+14
-1.67314E+15
5.63684E+14
-2.0243E+14
-7.29632E+14
-3.08366E+13
-9.40335E+13
9.86048E+13
-1.5312E+16
7.41313E+15
-1.6666E+16
2.0857E+17
2.89209E+16
7.78561E+15
-3.967E+16
-1.4628E+16
-2.9484E+15
7.45288E+15
-3.7433E+15
2.02036E+15
1.28438E+16
-3.4112E+15
-1.4281E+16
-1.6991E+16
-8.0977E+15
-9.3247E+15
1.70453E+15
-6.7513E+15
5.59625E+15
1.06336E+16
7.9122E+15
-1.7065E+16
4.38119E+15
-3.0908E+15
-1.8077E+15
-1.0829E+16
9.66842E+15
-7.9485E+15
-9.0173E+15
-4.9008E+15
1.69452E+16
1.69122E+15
1.08869E+16
-6.5096E+15
2.41138E+15
-4.348E+15
-1.3811E+16
1.0725E+16
1.0264E+17
-1.9301E+16
-3.0052E+15
5.71991E+15
-2.3556E+15
-1.3262E+15
-6.1943E+15
-1.07189E+15
-7.77667E+15
-7.7554E+15
7.20554E+16
8.15237E+13
6.64619E+15
2.26983E+16
3.71562E+15
-1.04859E+15
2.50005E+15
-1.18798E+15
-1.73999E+14
4.52573E+15
-2.15162E+15
-5.50768E+15
-6.11776E+15
1.97835E+14
6.01787E+14
6.66304E+14
-2.35175E+14
2.52395E+15
3.08641E+15
6.17789E+14
-4.79774E+15
8.16218E+14
-5.97338E+13
3.90424E+14
-1.47057E+15
8.42268E+14
-2.91853E+15
-2.8331E+15
-2.87533E+15
3.82049E+15
8.4576E+14
3.95601E+15
-1.73883E+15
3.62136E+15
-1.23473E+15
-4.89088E+15
2.08655E+15
3.14661E+16
-4.35498E+15
-2.40599E+15
1.41617E+15
-3.72786E+14
-1.36984E+14
-2.3771E+15
2.97633E+15
4.18359E+15
-6.30072E+14
-2.03584E+16
2.25078E+16
-6.4982E+15
-4.8884E+16
-3.16198E+15
-1.90268E+15
-6.54973E+14
1.25783E+15
-4.04821E+13
-9.88747E+14
7.96238E+14
4.25325E+15
2.94427E+15
-2.76339E+14
1.0857E+14
-3.17412E+14
-8.16698E+13
1.69626E+15
-1.93574E+14
2.54275E+15
1.34268E+15
8.20675E+14
-8.08433E+14
-9.25791E+14
-8.64432E+14
1.37966E+15
2.38207E+15
3.48934E+14
2.61432E+15
-2.49166E+15
-3.97161E+14
-1.56622E+15
-1.4637E+15
-3.54345E+15
-1.71083E+14
1.76406E+15
2.17866E+15
-6.69032E+15
2.27959E+15
6.97686E+14
-1.65778E+15
-3.67436E+14
-1.34056E+14
4.51366E+14
-1.0627E+15
-1.31455E+15
-1.54271E+15
3.39848E+16
-1.23573E+16
5.19725E+15
3.94278E+16
7.34857E+14
1.05804E+15
9.95798E+14
-1.38478E+15
2.3233E+14
1.69689E+15
-9.39473E+14
-3.85357E+15
-3.30708E+15
-9.47276E+14
-9.89019E+14
1.16169E+15
-1.62532E+15
-1.45473E+15
1.41363E+14
-1.49167E+15
-1.91859E+15
3.74587E+13
2.42228E+14
5.58715E+14
7.12099E+13
-3.77967E+14
-2.06948E+15
-7.62832E+14
-2.02701E+15
2.99834E+15
3.83786E+14
2.22594E+15
4.24404E+14
2.37E+15
-7.93347E+13
-2.71889E+15
-1.03089E+15
1.75321E+16
-3.53455E+15
-4.17353E+14
1.71647E+15
-6.79578E+13
-4.78005E+12
-1.01611E+15
1.9003E+15
1.4171E+15
2.17784E+15
-2.79411E+16
1.5844E+15
-7.87174E+14
-2.05715E+15
-2.08942E+14
4.75471E+14
-8.61087E+14
5.62146E+14
-1.02131E+14
-1.06031E+15
2.42111E+14
1.2716E+15
2.16079E+15
4.88246E+14
1.08698E+15
5.7926E+14
3.03211E+13
3.57734E+14
-1.43801E+15
-7.82808E+14
1.87499E+15
-4.54045E+14
5.11397E+14
-2.91344E+14
1.05317E+15
-9.29563E+14
1.00286E+15
1.50017E+15
8.39523E+14
-1.56531E+15
-4.02035E+14
-9.99069E+14
3.65694E+14
-8.34085E+14
7.03312E+14
1.47101E+15
-1.38131E+15
-1.10558E+16
1.96946E+15
5.86166E+14
-5.12927E+14
-3.77586E+13
2.00878E+14
4.86502E+14
4.147609067
1.94404209
0.149139354
1.129771104
0.119550502
-0.600337465
-1.320225431
-1.54240031
-1.515718645
-2.442987066
-0.176596504
0.638130883
-1.906705073
-0.303931962
-1.604485199
3.565231709
7.200333262
10.46215
9.742262033
0.069903691
0.529539439
0.056034984
-0.281386524
-0.618808033
-0.72294449
-0.710438423
-1.145062036
-0.082773239
0.299100826
-0.893699202
-0.14245714
-0.752044542
1.671073718
3.374896404
4.903755302
4.566333793
6.575284716
8.717247006
5.467317508
4.291192544
6.350202651
4.054223239
3.126954819
-1.325781308
-3.787665083
-4.963790048
-5.600725833
-4.868950627
-5.754742956
-6.599059195
-7.941088522
-8.826880852
-7.597392558
-6.990045623
-7.626981409
-7.268491018
-7.532141988
-7.712840776
-4.202167495
-4.465818464
-4.853897706
-5.781166126
-4.717582195
-6.391420247
1.18390992
3.077015665
8.122304301
12.21364285
14.77036605
17.20266097
8.063126599
3.081927452
4.085894985
2.562607802
2.011341664
2.976428356
1.900270853
1.46564724
-0.62141215
-1.775331336
-2.326597474
-2.625138141
-2.282144918
-2.69732811
-3.093070881
-3.722098703
-4.137281895
-3.561003621
-3.276331661
-3.574872327
-3.406842892
-3.530419771
-3.615115808
-1.969614384
-2.093191263
-2.275089404
-2.709713017
-2.211196427
-2.995747616
0.554915055
1.442240064
3.80703706
5.724704376
6.923076119
8.063126599
3.779299648
-2.78934E+16 7.13638E+15
-2.39524E+15 6.42071E+15
1.73338E+16 1.43916E+16
4.01827E+15 -2.47624E+15
-1.69804E+15
7.9805E+15
-2.28998E+13
-5.31433E+14
-2.15802E+12
-7.58924E+15
1.32771E+15
-6.67666E+14
-1.11206E+16
4.37651E+14
1.34446E+13
-2.50583E+14
1.5605E+14
2.03853E+14
-7.85659E+14
1.70058E+14
6.14868E+14
4.82528E+14
4.15438E+14
4.42855E+14
-6.07545E+13
2.29961E+15
9.55605E+13
2.07426E+14
9.53983E+13
5.19284E+14
-4.76899E+14
1.50455E+14
3.14189E+13
2.94984E+12
-1.26033E+14
4.67768E+14
-5.10246E+13
1.72795E+14
-8.66292E+14
-2.11411E+13
-4.17818E+14
7.08269E+14
-1.40129E+14
-4.26582E+12
6.30221E+14
2.1224E+14
-5.6739E+15
1.36009E+15
-3.21073E+13
-4.24595E+14
1.72841E+14
2.17331E+13
3.3827E+14
1.23087E+15
1.27567E+15
2.33816E+15
-9.39395E+15
-9.05395E+15
3.08739E+15
2.77758E+16
-9.48362E+13
1.12789E+15
1.80887E+14
-2.58682E+14
2.61813E+14
1.03899E+14
-1.01301E+14
-1.551E+15
-4.70455E+14
-1.12587E+14
8.74365E+14
2.30464E+14
-2.52089E+15
-1.37061E+13
-9.44723E+14
-1.51803E+15
5.20496E+14
-8.41613E+14
8.48113E+14
8.78545E+13
7.0075E+14
-9.93111E+14
-8.15861E+14
4.69133E+14
-5.831E+14
6.38839E+14
-1.07031E+14
1.22093E+14
1.4022E+15
1.22964E+15
5.44822E+14
9.30734E+12
-1.87259E+15
-3.30487E+14
-3.01551E+14
2.70048E+14
8.84455E+14
1.58673E+14
1.71131E+14
-6.2254E+13
Weighted Regression
Pt
Pt/t
0.98
1.35
1.24
1.2
1.16
1.24
1.38
1.29
1.97
2.3
1.82
2.34
2.16
3.54
4.55
5.47
5.43
4.8
5.45
4.8
4.65
5.28
4.86
4.77
3.83
3.37
3.22
3.2
3.51
3.43
3.36
3.17
3.09
3.52
3.8
3.78
4
4.07
4.16
5.14
5.21
5.25
5.16
5.55
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
31
32
33
34
35
36
37
38
39
40
41
42
43
44
1/t
t
0.98
1
1 SUMMARY OUTPUT
0.954594 0.707107 1.414214
0.715914
0.6
0.518768
0.506228
0.521591
0.456084
0.57735
0.5
0.447214
0.408248
0.377964
0.353553
1.732051
2
2.236068
2.44949
2.645751
2.828427
Multiple R 0.951378
R Square 0.905119
Adjusted R Square
0.883222
Standard Error
0.286538
Observations
52
0.656667 0.333333
3
0.727324 0.316228 3.162278 ANOVA
0.548751 0.301511 3.316625
0.6755 0.288675 3.464102 Regression
0.599076 0.27735 3.605551 Residual
0.946105 0.267261 3.741657 Total
df
SS
MS
2 39.16174 19.58087
50 4.105199 0.082104
52 43.26694
1.174805 0.258199 3.872983

1.3675
0.25
4
Coefficients
1.316968 0.242536 4.123106 Intercept
0
#N/A
#N/A
1.131371 0.235702 4.242641 X Variable 1 0.88793 0.178537 4.973372
1.250316 0.229416 4.358899 X Variable 2 0.130644 0.010246 12.75124
1.073313
1.014713
1.1257
1.01338
0.223607
0.218218
0.213201
0.208514
4.472136
4.582576
4.690416
4.795832 RESIDUAL OUTPUT
0.973672 0.204124 4.898979

0.766
0.660911
0.619689
0.604743
0.651791
0.626229
0.603474
0.560382
0.5379
0.603675
0.642317
0.63
0.657596
0.660241
0.666133
0.812705
0.813665
0.810093
0.786893
0.836694
0.2
0.196116
0.19245
0.188982
0.185695
0.182574
0.179605
0.176777
0.174078
0.171499
0.169031
0.166667
0.164399
0.162221
0.160128
0.158114
0.156174
0.154303
0.152499
0.150756
5ObservationPredicted Y Residuals
5.09902
1 1.018574 -0.03857
5.196152
2 0.81262 0.141974
5.291503
3 0.738929 -0.02301
5.385165
4 0.705253 -0.10525
5.477226
5 0.689224 -0.17046
5.567764
6 0.682507 -0.17628
5.656854
7 0.681258 -0.15967
5.744563
8 0.683448 -0.22736
5.830952
9 0.687909 -0.03124
5.91608
10 0.693921 0.033403
6
11 0.701019 -0.15227
6.082763
12 0.708888 -0.03339
6.164414
13 0.717312 -0.11824
6.244998
14 0.726135 0.21997
6.324555
15 0.735245 0.43956
6.403124
16 0.744559 0.622941
6.480741
17 0.754014 0.562954
6.557439
18 0.763563 0.367808
6.63325
19 0.77317 0.477146
5.28
7.24
7.83
9.18
10.3
11.05
11.77
9.7
45
46
47
48
49
50
51
52
0.787096
1.06748
1.142123
1.325019
1.471429
1.562706
1.64813
1.345148
0.149071
0.147442
0.145865
0.144338
0.142857
0.141421
0.140028
0.138675
6.708204
6.78233
6.855655
6.928203
7
7.071068
7.141428
7.211103
9.708456
Pt
Pt/t
0.98
1.35
1.24
1.2
1.16
1.24
1.38
1.29
1.97
2.3
1.82
2.34
1
2
3
4
5
6
7
8
9
10
11
12
1/t
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
0.782806
0.792449
0.802083
0.811694
0.821271
0.830807
0.840294
0.849729
0.859107
0.868425
0.877681
0.886873
0.896
0.905062
0.914059
0.922989
0.931853
0.940652
0.949386
0.958055
0.96666
0.975202
0.983681
0.992099
1.000456
1.008752
1.01699
1.025169
1.033291
1.041356
1.049366
1.057321
1.065222
0.290507
0.222264
0.323617
0.201687
0.152401
-0.06481
-0.17938 0.06416
-0.23004
-0.25436
-0.21663
-0.25145
-0.2834
-0.33562
-0.36716
-0.31038
-0.28067
-0.30185
-0.28306
-0.28914
-0.29192
-0.15395
-0.16154
-0.17359
-0.20521
-0.16376
-0.22166
0.05049
0.116954
0.291728
0.430072
0.51334
0.590809
0.279926 0.080206
SUMMARY OUTPUT
0.98
0.954594
0.715914
0.6
0.518768
0.506228
0.521591
0.707107
0.57735
0.5
0.447214
0.408248
0.377964
1.414214
1.732051
2
2.236068
2.44949
2.645751
Multiple R 0.989879
R Square
0.97986
Adjusted R Square
0.877846
Standard Error
0.104934
Observations
12
0.456084 0.353553 2.828427

0.656667 0.333333
3
ANOVA
0.727324 0.316228 3.162278

0.548751 0.301511 3.316625
0.6755 0.288675 3.464102
Regression
Residual
df
SS
2 5.357167
10 0.110111
Total
12 5.467278
Coefficients
Standard Error
Intercept
0
#N/A
X Variable 1 0.925946 0.093592
X Variable 2 0.091777 0.018668
Pt
5.21
5.25
5.16
5.55
5.28
7.24
7.83
9.18
10.3
11.05
11.77
9.7
41
42
43
44
45
46
47
48
49
50
51
52
Pt/t
1/t
t
0.813665 0.156174 6.403124
0.810093
0.786893
0.836694
0.787096
1.06748
1.142123
0.154303
0.152499
0.150756
0.149071
0.147442
0.145865
6.480741
6.557439
6.63325
6.708204
6.78233
6.855655
1.325019 0.144338 6.928203

1.471429 0.142857
7
1.562706 0.141421 7.071068
1.64813 0.140028 7.141428
1.345148 0.138675 7.211103
SUMMARY OUTPUT
Multiple R 0.993699
R Square 0.987437
Adjusted R Square
0.886181
Standard Error
0.144367
Observations
12
ANOVA
df
Regression
Residual
Total
SS
2 16.3812
10 0.208417
12 16.58962
Coefficients
Standard Error
Intercept
0
#N/A
X Variable 1 -22.1917 3.809163
X Variable 2 0.644839 0.082145
ln(Pt)
t
-0.0202
0.300105
1
2
0.215111
0.182322
0.14842
0.215111
0.322083
0.254642
3
4
5
6
7
8
0.678034
0.832909
9
10
0.598837
0.850151
0.770108
1.264127
11
12
13
14
1.515127
15

Upper 95.0%
#N/A
#N/A
#N/A
#N/A
#N/A
8.15E-06 0.529328 1.246532 0.529328 1.246532
1.699279
1.691939
1.568616
16
17
18
2.46E-17 0.110065 0.151223 0.110065 0.151223
1.695616
19
1.568616
1.536867
1.663926
1.581038
20
21
22
23
1.562346
24
1.342865
1.214913
1.169381
1.163151
1.255616
1.23256
1.211941
1.153732
1.128171
1.258461
1.335001
1.329724
1.386294
1.403643
1.425515
1.637053
1.65058
1.658228
1.640937
1.713798
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
F
Significance F
238.4887 5.57E-26
Regression
Observation
1.663926
1.979621
2.057963
2.217027
2.332144
2.40243
2.465554
2.272126
MS
F
Significance F
2.678584 243.2623 1.47E-08
0.011011
45
46
47
48
49
50
51
52
t Stat
Upper 95.0%
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
9.893456 1.75E-06 0.717411 1.134482 0.717411 1.134482
4.91632 0.000608 0.050183 0.133372 0.050183 0.133372
MS
F
Significance F
8.1906 392.9908 1.75E-09
0.020842
t Stat
Upper 95.0%
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
-5.82587 0.000167
-30.679 -13.7043
-30.679 -13.7043
7.849992 1.39E-05 0.461808 0.82787 0.461808 0.82787
SUMMARY OUTPUT
Multiple R 0.838243
R Square 0.702652
Adjusted R Square
0.696705
Observations
52
ANOVA
df
Regression
Residual
Total
SS
MS
1 13.83665 13.83665
50 5.855395 0.117108
51 19.69205
F
Significance F
118.153 9.02E-15
Coefficients
Upper 95.0%
Intercept
0.385296 0.096298 4.001095 0.000208 0.191877 0.578716 0.191877 0.578716
X Variable 1 0.03437 0.003162 10.86982 9.02E-15 0.028019 0.040721 0.028019 0.040721
RESIDUAL OUTPUT
ObservationPredicted Y Residuals
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
0.419666
0.454037
0.488407
0.522777
0.557147
0.591517
0.625887
0.660258
0.694628
0.728998
0.763368
0.797738
0.832108
0.866479
0.900849
0.935219
0.969589
1.003959
1.038329
1.072699
-0.43987
-0.15393
-0.2733
-0.34046
-0.40873
-0.37641
-0.3038
-0.40562
-0.01659
0.103911
-0.16453
0.052413
-0.062
0.397648
0.614279
0.76406
0.72235
0.564657
0.657286
0.495916
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
1.10707
1.14144
1.17581
1.21018
1.24455
1.27892
1.313291
1.347661
1.382031
1.416401
1.450771
1.485141
1.519511
1.553882
1.588252
1.622622
1.656992
1.691362
1.725732
1.760103
1.794473
1.828843
1.863213
1.897583
1.931953
1.966323
2.000694
2.035064
2.069434
2.103804
2.138174
2.172544
0.429798
0.522486
0.405229
0.352166
0.098315
-0.06401 0.161153
-0.14391
-0.18451
-0.12641
-0.18384
-0.23883
-0.33141
-0.39134
-0.29542
-0.25325
-0.2929
-0.2707
-0.28772
-0.30022
-0.12305
-0.14389
-0.17061
-0.22228
-0.18379
-0.26803
0.013298
0.057269
0.181963
0.26271
0.298626
0.32738
0.099582 0.042119
CPWN Weekly Stock Prices, 2010 and Heteroskedasticity

Closing
Week Ending Price
1/4/2010
0.98
1/11/2010
1.35
1/19/2010
1.24
1/25/2010
1.2
2/1/2010
1.16
2/8/2010
1.24
2/16/2010
1.38
2/22/2010
1.29
3/1/2010
1.97
3/8/2010
2.3
3/15/2010
1.82
3/22/2010
2.34
3/29/2010
2.16
4/5/2010
3.54
4/12/2010
4.55
4/19/2010
5.47
4/26/2010
5.43
5/3/2010
4.8
5/10/2010
5.45
5/17/2010
4.8
5/24/2010
4.65
6/1/2010
5.28
6/7/2010
4.86
6/14/2010
4.77
6/21/2010
3.83
6/28/2010
3.37
7/6/2010
3.22
7/12/2010
3.2
7/19/2010
3.51
7/26/2010
3.43
8/2/2010
3.36
8/9/2010
3.17
8/16/2010
3.09
8/23/2010
3.52
8/30/2010
3.8
9/7/2010
3.78
9/13/2010
4
9/20/2010
4.07
9/27/2010
4.16
10/4/2010
5.14
10/11/2010
5.21
10/18/2010
5.25
10/25/2010
5.16
t
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
31
32
33
34
35
36
37
38
39
40
41
42
43
SUMMARY OUTPUT
Multiple R
0.79215114
R Square
0.62750343
Adjusted R Square
0.6200535
Standard Error
1.57507506
Observations
52
ANOVA
df
Regression
Residual
Total
1
50
51
SS
MS
208.9615283 208.9615283
124.0430717 2.480861434
333.0046

t Stat
0.81047511 0.443224891 1.828586639
0.13356698 0.014553491 9.177658932
Intercept
X Variable 1
RESIDUAL OUTPUT
Observation
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
Predicted Y
0.94404209
1.07760907
1.21117604
1.34474302
1.47831
1.61187697
1.74544395
1.87901093
2.0125779
2.14614488
2.27971186
2.41327884
2.54684581
2.68041279
2.81397977
2.94754674
3.08111372
3.2146807
3.34824767
Residuals
0.03595791
0.272390933
0.028823956
-0.144743021
-0.318309997
-0.371876974
-0.365443951
-0.589010928
-0.042577905
0.153855118
-0.459711859
-0.073278835
-0.386845812
0.859587211
1.736020234
2.522453257
2.34888628
1.585319303
2.101752326
11/1/2010
5.55
11/8/2010
5.28
11/15/2010
7.24
11/22/2010
7.83
11/29/2010
9.18
12/6/2010
10.3
12/13/2010
11.05
12/20/2010
11.77
12/27/2010
9.7
Date
Adj Close
44
45
46
47
48
49
50
51
52
T
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
3.48181465
3.61538163
3.7489486
3.88251558
4.01608256
4.14964953
4.28321651
4.41678349
4.55035047
4.68391744
4.81748442
4.9510514
5.08461837
5.21818535
5.35175233
5.4853193
5.61888628
5.75245326
5.88602023
6.01958721
6.15315419
6.28672116
6.42028814
6.55385512
6.6874221
6.82098907
6.95455605
7.08812303
7.22169
7.35525698
7.48882396
7.62239093
7.75595791
1.31818535
1.034618373
1.531051396
0.977484419
0.753917442
-0.319649535
-0.913216512 0.984244555
-1.196783488
-1.350350465
-1.173917442
-1.387484419
-1.591051396
-1.914618373
-2.12818535
-1.831752326
-1.685319303
-1.83888628
-1.752453257
-1.816020234
-1.859587211
-1.013154188
-1.076721165
-1.170288141
-1.393855118
-1.137422095
-1.540989072
0.285443951
0.741876974
1.958309997
2.944743021
3.561176044
4.147609067
1.94404209 3.435193485
(eeT)-1
7.2917E+18
9.6233E+17
-1.534E+18
-1.55E+18
5.7858E+17
1.5981E+16
-2.284E+17
-1.175E+17
2.706E+18
-9.598E+17
3.9911E+17
3.0315E+18
1.5829E+17
6.2408E+16
7.0225E+16
-9.54E+16
6.4085E+15
1.326E+17
-5.86E+16
-2.999E+17
-2.331E+17
-7.859E+16
-8.212E+16
4.2892E+16
-1.134E+17
-1.571E+17
1.5158E+16
-9.227E+16
-1.394E+17
-7.914E+15
4.8806E+16
5.3527E+16
3.9165E+15
-4.041E+16
-1.654E+17
-6.46E+16
-1.531E+17
2.1675E+17
7.4251E+15
1.8084E+17
3.5306E+16
1.6466E+17
-1.41E+15
-2.106E+17
-6.706E+16
X
0.98 1
1.35
1.24
1.2
1.16
1.24
1.38
1.29
1.97
2.3
1.82
2.34
2.16
3.54
4.55
5.47
5.43
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
2
1
2
3
3
4
XT(eeT)-1 =
5
1.075E+19 -7.79247E+17 7.94581E+18
6
7.781E+19 -5.26601E+18 6.42865E+19
7
XT(eeT)-1 X =
8
2.089E+19 1.14326E+20
9
1.731E+20 1.07236E+21
10
T
T -1
-1
11 ( X (ee ) X ) =
4.106E-19 -4.37802E-20
12
-6.628E-20 7.99888E-21
13
XT(eeT)-1 y =
14
3.22E+19
15
2.835E+20
16
T
T -1
-1
T
T -1
17 ( X (ee ) X ) X (ee ) y =
0.810475113 = b0
4.8
5.45
4.8
4.65
5.28
4.86
4.77
3.83
3.37
3.22
3.2
3.51
3.43
3.36
3.17
3.09
3.52
3.8
3.78
4
4.07
4.16
5.14
5.21
5.25
5.16
5.55
5.28
7.24
7.83
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
0.133566977 = b1
9.18
10.3
11.05
11.77
9.7
1
1
1
1
1
48
49
50
51
52
F
Significance F
84.2294235 2.65891E-12
P-value
Lower 95%
0.07342955 -0.079768262
2.6589E-12
0.10433543
Upper 95%
1.700718488 -0.079768262 1.700718488
0.162798523
0.10433543 0.162798523
eT
0.03595791
eeT
0.272390933
0.00129297
0.00979461
0.00103645
-0.00520466
-0.01144576
-0.01337192
-0.0131406
-0.0211796
-0.00153101
0.00553231
-0.01653028
-0.00263495
-0.01391017
0.03090896
0.06242366
0.09070215
0.08446104
0.009794609
0.07419682
0.007851384
-0.039426686
-0.086704757
-0.101295916
-0.099543619
-0.160441236
-0.011597835
0.041908739
-0.125221342
-0.01996049
-0.105373292
0.234143762
0.472876171
0.687093397
0.639815326
0.028823956 -0.144743021 -0.318309997 -0.371876974 -0.365443951

0.001036449
0.007851384
0.00083082
-0.004172066
-0.009174953
-0.010718966
-0.01053354
-0.016977625
-0.001227264
0.004434713
-0.013250715
-0.002112186
-0.011150427
0.024776704
0.050038971
0.072707082
0.067704195
-0.005204657
-0.039426686
-0.004172066
0.020950542
0.046073151
0.053826597
0.052895461
0.085255221
0.006162855
-0.022269455
0.066540083
0.0106066
0.055993231
-0.124419249
-0.251276812
-0.365107504
-0.339984895
-0.011445762
-0.086704757
-0.009174953
0.046073151
0.101321254
0.118372159
0.116324463
0.187488067
0.013552973
-0.048973622
0.146330881
0.023325386
0.12313689
-0.273615203
-0.552592596
-0.80292209
-0.747673986
-0.013371919
-0.101295916
-0.010718966
0.053826597
0.118372159
0.138292484
0.135900191
0.219039602
0.015833742
-0.057215176
0.170956255
0.027250712
0.14385905
-0.319660691
-0.645585952
-0.938042285
-0.873496723
-0.013140601
-0.099543619
-0.01053354
0.052895461
0.116324463
0.135900191
0.133549281
0.215250481
0.015559838
-0.056225422
0.167998918
0.026779307
0.141370462
-0.314130947
-0.634418094
-0.921815285
-0.858386283
1.129771104
0.529539439
-0.589543746
-0.781593296
-0.490202779
-0.38475075
-0.569362761
-0.363503948
-0.280364537
0.118870302
0.339604193
0.445056223
0.502164245
0.436552866
0.515973508
0.591675379
0.712002487
0.791423129
0.681186513
0.626731443
0.683839466
0.651697015
0.67533611
0.691537665
0.376768714
0.400407809
0.435203213
0.518342624
0.422981087
0.573058354
-0.106150033
-0.275886965
-0.728250397
-1.095082125
-1.324319372
0.119550502 -0.600337465 -1.320225431 -1.54240031
0.056034984 -0.281386524 -0.618808033 -0.72294449
-0.57934535
-0.768072675
-0.481722863
-0.378095026
-0.559513472
-0.357215768
-0.275514569
0.116813989
0.33372945
0.437357287
0.493477409
0.429001028
0.507047788
0.581440109
0.699685703
0.777732463
0.669402808
0.615889745
0.672009868
0.640423442
0.66365361
0.679574898
0.370251069
0.393481237
0.427674722
0.509375922
0.415664025
0.563145135
-0.104313765
-0.271114453
-0.715652543
-1.076138525
-1.301410244
-1.515718645
-0.710438423
-3.31396E+17
-6.43224E+16
-1.49355E+16
6.9143E+16
-7.66099E+16
-1.08271E+16
2.01536E+15
2.83975E+15
8.58835E+18 -1.7027E+18 4.04038E+16 -2.70376E+17

4.7838E+17 -9.67602E+16 -2.16673E+15 -2.7569E+16
-3.76883E+18 5.31937E+17 -1.85256E+17 1.35414E+17
-1.72406E+18 3.77323E+17 -1.72463E+16 5.93284E+16
-4.83736E+17 7.34615E+16 -1.45799E+15 -2.36287E+16
-2.97327E+17 3.76191E+16 6.71378E+15 -8.92541E+15
-2.70427E+17 5.77254E+16
3.181E+15 1.08172E+15
-2.25449E+17
5.5001E+16 -8.07192E+15
8.3033E+15
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1.92938E+16 2.72338E+16 -1.52242E+15 -3.0806E+16 -3.29423E+15 -1.03981E+16
-1.57721E+15 8.70683E+15 -7.61409E+14 -1.5312E+16 -1.07189E+15 2.97633E+15
-4.728E+15 -1.39213E+13 -1.42896E+15 7.41313E+15 -7.77667E+15 4.18359E+15
-1.07175E+15 4.68491E+15 -3.78497E+14 -1.6666E+16 -7.7554E+15 -6.30072E+14
8.17014E+16
1.22699E+16
-2.41776E+16
-2.07255E+16
8.70679E+15
-1.0627E+15
-1.31455E+15
-1.54271E+15
6.6714E+16
-2.8368E+16
1.13197E+16
9.93937E+16
3.56125E+15
2.00723E+15
1.57257E+15
-2.46277E+15
-4.94006E+13
3.3792E+15
-1.91317E+15
-8.29531E+15
-6.70918E+15
-1.44198E+15
-1.5775E+15
1.16333E+15
-2.90306E+15
-4.36702E+15
2.91655E+14
-3.99324E+15
-3.15805E+15
-6.69066E+14
1.14563E+15
1.95259E+15
9.59069E+14
-2.29575E+15
-3.95235E+15
-1.46776E+15
-5.35797E+15
5.42313E+15
1.37813E+15
4.50798E+15
1.76916E+15
5.85795E+15
2.86048E+14
-5.09818E+15
-3.04101E+15
2.96331E+16
-5.967E+15
-1.14305E+15
3.69874E+15
1.6135E+14
2.75473E+14
-1.64919E+15
-1.85657E+16
-1.80042E+16
3.65851E+15
5.47362E+16
4.26955E+15
2.68516E+15
-9.48194E+14
2.97909E+14
-8.20222E+14
-5.24547E+14
-9.85314E+14
-1.29885E+15
2.4075E+15
2.81658E+14
1.33211E+15
2.87727E+15
-3.95391E+15
5.03399E+14
-5.11186E+15
-3.46602E+15
3.73283E+15
-7.68639E+14
1.29688E+15
-3.95086E+14
3.61222E+15
-3.58203E+15
-7.27563E+14
3.401E+15
5.64059E+14
-9.41369E+14
-7.74922E+14
7.29438E+14
6.83741E+14
1.95688E+15
1.43616E+15
-5.09501E+13
-5.83539E+15
-3.11024E+15
3.63951E+15
1.05054E+15
7.6264E+14
-2.59439E+14
7.04954E+14
-4.24658E+14
5.62441E+15
4.56011E+15
-9.03063E+14
-1.0157E+16
1.83677E+15
-3.39367E+14
-2.4709E+14
3.32375E+14
2.99268E+14
-6.35853E+12
-2.19137E+14
4.77367E+14
5.41842E+14
7.14887E+14
2.7574E+14
6.19562E+14
2.65915E+15
3.68207E+13
-1.7972E+14
4.80238E+14
-2.07229E+14
-3.40494E+14
-3.93304E+14
2.19175E+14
-3.85463E+14
2.53454E+14
3.10817E+14
-1.64597E+14
-4.25737E+14
-1.25271E+14
6.81426E+14
2.75585E+14
-5.12298E+14
8.78912E+14
-1.43342E+14
-2.80144E+14
5.78872E+14
-1.67314E+15
5.63684E+14
-2.0243E+14
-7.29632E+14
-3.08366E+13
-9.40335E+13
9.86048E+13
2.0857E+17
2.89209E+16
7.78561E+15
-3.967E+16
-1.4628E+16
-2.9484E+15
7.45288E+15
-3.7433E+15
2.02036E+15
1.28438E+16
-3.4112E+15
-1.4281E+16
-1.6991E+16
-8.0977E+15
-9.3247E+15
1.70453E+15
-6.7513E+15
5.59625E+15
1.06336E+16
7.9122E+15
-1.7065E+16
4.38119E+15
-3.0908E+15
-1.8077E+15
-1.0829E+16
9.66842E+15
-7.9485E+15
-9.0173E+15
-4.9008E+15
1.69452E+16
1.69122E+15
1.08869E+16
-6.5096E+15
2.41138E+15
-4.348E+15
-1.3811E+16
1.0725E+16
1.0264E+17
-1.9301E+16
-3.0052E+15
5.71991E+15
-2.3556E+15
-1.3262E+15
-6.1943E+15
7.20554E+16
8.15237E+13
6.64619E+15
2.26983E+16
3.71562E+15
-1.04859E+15
2.50005E+15
-1.18798E+15
-1.73999E+14
4.52573E+15
-2.15162E+15
-5.50768E+15
-6.11776E+15
1.97835E+14
6.01787E+14
6.66304E+14
-2.35175E+14
2.52395E+15
3.08641E+15
6.17789E+14
-4.79774E+15
8.16218E+14
-5.97338E+13
3.90424E+14
-1.47057E+15
8.42268E+14
-2.91853E+15
-2.8331E+15
-2.87533E+15
3.82049E+15
8.4576E+14
3.95601E+15
-1.73883E+15
3.62136E+15
-1.23473E+15
-4.89088E+15
2.08655E+15
3.14661E+16
-4.35498E+15
-2.40599E+15
1.41617E+15
-3.72786E+14
-1.36984E+14
-2.3771E+15
-2.03584E+16
2.25078E+16
-6.4982E+15
-4.8884E+16
-3.16198E+15
-1.90268E+15
-6.54973E+14
1.25783E+15
-4.04821E+13
-9.88747E+14
7.96238E+14
4.25325E+15
2.94427E+15
-2.76339E+14
1.0857E+14
-3.17412E+14
-8.16698E+13
1.69626E+15
-1.93574E+14
2.54275E+15
1.34268E+15
8.20675E+14
-8.08433E+14
-9.25791E+14
-8.64432E+14
1.37966E+15
2.38207E+15
3.48934E+14
2.61432E+15
-2.49166E+15
-3.97161E+14
-1.56622E+15
-1.4637E+15
-3.54345E+15
-1.71083E+14
1.76406E+15
2.17866E+15
-6.69032E+15
2.27959E+15
6.97686E+14
-1.65778E+15
-3.67436E+14
-1.34056E+14
4.51366E+14
3.39848E+16
-1.23573E+16
5.19725E+15
3.94278E+16
7.34857E+14
1.05804E+15
9.95798E+14
-1.38478E+15
2.3233E+14
1.69689E+15
-9.39473E+14
-3.85357E+15
-3.30708E+15
-9.47276E+14
-9.89019E+14
1.16169E+15
-1.62532E+15
-1.45473E+15
1.41363E+14
-1.49167E+15
-1.91859E+15
3.74587E+13
2.42228E+14
5.58715E+14
7.12099E+13
-3.77967E+14
-2.06948E+15
-7.62832E+14
-2.02701E+15
2.99834E+15
3.83786E+14
2.22594E+15
4.24404E+14
2.37E+15
-7.93347E+13
-2.71889E+15
-1.03089E+15
1.75321E+16
-3.53455E+15
-4.17353E+14
1.71647E+15
-6.79578E+13
-4.78005E+12
-1.01611E+15
46
1.82418E+17
2.95905E+18
47
48
49
50
51
52
1.06794E+17 -1.57312E+17 1.22671E+17 -3.04375E+16 -2.8149E+16

1.42653E+18 -7.73256E+17 1.03305E+18 -3.81334E+17 -2.26202E+17
4.8056E+16
2.77866E+17
3.561176044
4.147609067
1.94404209
0.128052448
0.970032066
0.102647183
-0.515455377
-1.133557937
-1.324319372
-1.301410244
-2.097571606
-0.151627415
0.547905161
-1.637114858
-0.260958833
-1.37762604
3.061141383
6.182273668
8.98290011
8.36479755
0.149139354
1.129771104
0.119550502
-0.600337465
-1.320225431
-1.54240031
-1.515718645
-2.442987066
-0.176596504
0.638130883
-1.906705073
-0.303931962
-1.604485199
3.565231709
7.200333262
10.46215
9.742262033
0.069903691
0.529539439
0.056034984
-0.281386524
-0.618808033
-0.72294449
-0.710438423
-1.145062036
-0.082773239
0.299100826
-0.893699202
-0.14245714
-0.752044542
1.671073718
3.374896404
4.903755302
4.566333793
5.645601125
7.484710035
4.694290088
3.684458163
5.452343553
3.480994096
2.684832734
-1.138328265
-3.252124764
-4.261956689
-4.808835728
-4.180526672
-4.941076274
-5.666014115
-6.818293082
-7.578842684
-6.523192503
-6.001718729
-6.548597768
-6.240794557
-6.467167752
-6.622317426
-3.608020422
-3.834393617
-4.167602093
-4.963763455
-4.050560317
-5.487733367
1.016516161
2.641954508
6.973886649
10.4867483
12.68197481
14.77036605
6.923076119
6.575284716
8.717247006
5.467317508
4.291192544
6.350202651
4.054223239
3.126954819
-1.325781308
-3.787665083
-4.963790048
-5.600725833
-4.868950627
-5.754742956
-6.599059195
-7.941088522
-8.826880852
-7.597392558
-6.990045623
-7.626981409
-7.268491018
-7.532141988
-7.712840776
-4.202167495
-4.465818464
-4.853897706
-5.781166126
-4.717582195
-6.391420247
1.18390992
3.077015665
8.122304301
12.21364285
14.77036605
17.20266097
8.063126599
3.081927452
4.085894985
2.562607802
2.011341664
2.976428356
1.900270853
1.46564724
-0.62141215
-1.775331336
-2.326597474
-2.625138141
-2.282144918
-2.69732811
-3.093070881
-3.722098703
-4.137281895
-3.561003621
-3.276331661
-3.574872327
-3.406842892
-3.530419771
-3.615115808
-1.969614384
-2.093191263
-2.275089404
-2.709713017
-2.211196427
-2.995747616
0.554915055
1.442240064
3.80703706
5.724704376
6.923076119
8.063126599
3.779299648
-5.14232E+16
-2.26218E+14
3.81079E+16
5.5559E+15
4.35053E+15
1.9003E+15
1.4171E+15
2.17784E+15
-2.78934E+16 7.13638E+15
-2.39524E+15 6.42071E+15
1.73338E+16 1.43916E+16
4.01827E+15 -2.47624E+15
-1.69804E+15
7.9805E+15
-2.28998E+13 1.23087E+15
-5.31433E+14 1.27567E+15
-2.15802E+12 2.33816E+15
-2.79411E+16
1.5844E+15
-7.87174E+14
-2.05715E+15
-2.08942E+14
4.75471E+14
-8.61087E+14
5.62146E+14
-1.02131E+14
-1.06031E+15
2.42111E+14
1.2716E+15
2.16079E+15
4.88246E+14
1.08698E+15
5.7926E+14
3.03211E+13
3.57734E+14
-1.43801E+15
-7.82808E+14
1.87499E+15
-4.54045E+14
5.11397E+14
-2.91344E+14
1.05317E+15
-9.29563E+14
1.00286E+15
1.50017E+15
8.39523E+14
-1.56531E+15
-4.02035E+14
-9.99069E+14
3.65694E+14
-8.34085E+14
7.03312E+14
1.47101E+15
-1.38131E+15
-1.10558E+16
1.96946E+15
5.86166E+14
-5.12927E+14
-3.77586E+13
2.00878E+14
4.86502E+14
#N/A
-7.58924E+15
1.32771E+15
-6.67666E+14
-1.11206E+16
4.37651E+14
1.34446E+13
-2.50583E+14
1.5605E+14
2.03853E+14
-7.85659E+14
1.70058E+14
6.14868E+14
4.82528E+14
4.15438E+14
4.42855E+14
-6.07545E+13
2.29961E+15
9.55605E+13
2.07426E+14
9.53983E+13
5.19284E+14
-4.76899E+14
1.50455E+14
3.14189E+13
2.94984E+12
-1.26033E+14
4.67768E+14
-5.10246E+13
1.72795E+14
-8.66292E+14
-2.11411E+13
-4.17818E+14
7.08269E+14
-1.40129E+14
-4.26582E+12
6.30221E+14
2.1224E+14
-5.6739E+15
1.36009E+15
-3.21073E+13
-4.24595E+14
1.72841E+14
2.17331E+13
3.3827E+14
-9.39395E+15
-9.05395E+15
3.08739E+15
2.77758E+16
-9.48362E+13
1.12789E+15
1.80887E+14
-2.58682E+14
2.61813E+14
1.03899E+14
-1.01301E+14
-1.551E+15
-4.70455E+14
-1.12587E+14
8.74365E+14
2.30464E+14
-2.52089E+15
-1.37061E+13
-9.44723E+14
-1.51803E+15
5.20496E+14
-8.41613E+14
8.48113E+14
8.78545E+13
7.0075E+14
-9.93111E+14
-8.15861E+14
4.69133E+14
-5.831E+14
6.38839E+14
-1.07031E+14
1.22093E+14
1.4022E+15
1.22964E+15
5.44822E+14
9.30734E+12
-1.87259E+15
-3.30487E+14
-3.01551E+14
2.70048E+14
8.84455E+14
1.58673E+14
1.71131E+14
-6.2254E+13
#N/A
Ramsey Test
Closing
Predicted Y Price
0.9440421
0.98
1.0776091
1.35
1.211176
1.24
1.344743
1.2
1.47831
1.16
1.611877
1.24
1.745444
1.38
1.8790109
1.29
2.0125779
1.97
2.1461449
2.3
2.2797119
1.82
2.4132788
2.34
2.5468458
2.16
2.6804128
3.54
2.8139798
4.55
2.9475467
5.47
3.0811137
5.43
3.2146807
4.8
3.3482477
5.45
3.4818147
4.8
3.6153816
4.65
3.7489486
5.28
3.8825156
4.86
4.0160826
4.77
4.1496495
3.83
4.2832165
3.37
4.4167835
3.22
4.5503505
3.2
4.6839174
3.51
4.8174844
3.43
4.9510514
3.36
5.0846184
3.17
5.2181853
3.09
5.3517523
3.52
5.4853193
3.8
5.6188863
3.78
5.7524533
4
5.8860202
4.07
6.0195872
4.16
6.1531542
5.14
6.2867212
5.21
6.4202881
5.25
6.5538551
5.16
Predicted Y2
t
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
31
32
33
34
35
36
37
38
39
40
41
42
43
0.89121547
1.1612413
SUMMARY OUTPUT
1.46694741
1.80833379
2.18540045
2.59814738
3.04657459
3.53068207
Multiple R 0.821892
R Square 0.675507
Adjusted R Square
0.662262
Standard Error
1.485011
Observations
52
4.05046982
4.60593785
ANOVA
5.19708616
5.82391474
6.48642359
7.18461272
df
SS
MS
2 224.9469 112.4735
49 108.0577 2.205259
51 333.0046
F
51.0024
Coefficients
Intercept
2.022529 0.614239 3.292738
X Variable 1 -0.04579 0.068015
-0.6732
X Variable 2 0.154345 0.057327 2.692353
P-value
0.001846
0.503985
0.009683
Regression
Residual
Total
7.91848212
8.6880318
9.49326175
10.334172
11.2107625
12.1230333
13.0709843
14.0546156
15.0739272
16.1289191
17.2195913
18.3459437
19.5079764
20.7056894
21.9390826
23.2081561
24.5129099
25.853344
27.2294583
28.641253
30.0887279
31.571883
33.0907185
34.6452342
36.2354302
37.8613065
39.522863
41.2200998
42.9530169
6.6874221
6.8209891
6.954556
7.088123
7.22169
7.355257
7.488824
7.6223909
7.7559579
5.55
5.28
7.24
7.83
9.18
10.3
11.05
11.77
9.7
44
45
46
47
48
49
50
51
52
44.7216143
46.5258919
48.3658498
50.241488
52.1528065
54.0998052
56.0824842
58.1008435
60.1548831
Significance F
1.06E-12

Upper 95.0%
0.788169 3.25689 0.788169 3.25689
-0.18247 0.090893 -0.18247 0.090893
0.039142 0.269549 0.039142 0.269549
New Privately Owned Single Housing Units Started

Not Seasonally Adjusted, Not Annulaized, ('000's)
Jan 2007
Feb 2007
Mar 2007
Apr 2007
May 2007
Jun 2007
Jul 2007
Aug 2007
Sep 2007
Oct 2007
Nov 2007
Dec 2007
Jan 2008
Feb 2008
Mar 2008
Apr 2008
May 2008
Jun 2008
Jul 2008
Aug 2008
Sep 2008
Oct 2008
Nov 2008
Dec 2008
Jan 2009
Feb 2009
Mar 2009
Apr 2009
May 2009
Jun 2009
Jul 2009
Aug 2009
Sep 2009
Oct 2009
Nov 2009
Dec 2009
Jan 2010
Feb 2010
Mar 2010
Apr 2010
May 2010
Jun 2010
Jul 2010
Aug 2010
Sep 2010
Oct 2010
Nov 2010
Dec 2010
75.4
82.9
101.3
111.4
111.4
110.1
100.1
86.6
78.6
77.4
58.6
52.3
48.5
51.9
61.5
62.6
66.1
65.2
59.9
54.4
48.7
45.8
31.3
26.1
22.7
24.6
31.0
35.0
39.5
49.2
49.3
43.4
45.6
39.4
35.2
30.1
31.7
35.2
47.4
52.2
44.5
45.5
40.7
39.1
39.2
36.0
33.0
26.6
Jan Avg
Feb Avg
Mar Avg
Apr Avg
May Avg
Jun Avg
Jul Avg
Aug Avg
Sep Avg
Oct Avg
Nov Avg
Dec Avg
Average
Monthly
Additive
Multiplicative
Averages Adjustments Adjustments
44.6
-9.3 0.82795449
48.7
-5.2 0.90364523
60.3
6.5 1.12003715
65.3
11.5 1.21290922
65.4
11.5 1.2143023
67.5
13.7 1.25377293
62.5
8.7 1.16090086
55.9
2.0 1.03784537
53.0
-0.8 0.98490829
49.7
-4.2 0.92221964
39.5
-14.3 0.7341537
33.8
-20.1 0.62735082
53.8
0.0
1.0

Jan 2007
75.4
Jan 2009
22.7
Feb 2007
82.9
Feb 2009
24.6
Mar 2007
101.3
Mar 2009
31.0
Apr 2007
111.4
Apr 2009
35.0
May 2007
111.4
May 2009
39.5
Jun 2007
110.1
Jun 2009
49.2
Jul 2007
100.1
Jul 2009
49.3
Aug 2007
86.6
Aug 2009
43.4
Sep 2007
78.6
Sep 2009
45.6
Oct 2007
77.4
Oct 2009
39.4
Nov 2007
58.6
Nov 2009
35.2
Dec 2007
52.3
Dec 2009
30.1
Jan 2008
48.5
Jan 2010
31.7
Feb 2008
51.9
Feb 2010
35.2
Mar 2008
61.5
Mar 2010
47.4
Apr 2008
62.6
Apr 2010
52.2
May 2008
66.1
May 2010
44.5
Jun 2008
65.2
Jun 2010
45.5
Jul 2008
59.9
Jul 2010
40.7
Aug 2008
54.4
Aug 2010
39.1
Sep 2008
48.7
Sep 2010
39.2
Oct 2008
45.8
Oct 2010
36.0
Nov 2008
31.3
Nov 2010
33.0
Dec 2008
26.1
Dec 2010
26.6
Seasonal Adjustments
Month
Additive
Jan 2007
84.6625
Feb 2007
88.0875
Mar 2007
94.8375
Apr 2007
99.9375
May 2007
99.8625
Jun 2007
96.4375
Jul 2007
91.4375
Aug 2007
84.5625
Sep 2007
79.4125
Oct 2007
81.5875
Nov 2007
72.9125
Dec 2007
72.3625
Jan 2008
57.7625
Feb 2008
57.0875
Mar 2008
55.0375
Apr 2008
51.1375
May 2008
54.5625
Jun 2008
51.5375
Jul 2008
51.2375
Aug 2008
52.3625
Sep 2008
49.5125
Oct 2008
49.9875
Nov 2008
45.6125
Dec 2008
46.1625
Month
Additive
Multiplicative
Jan 2007
84.7 91.06781
Feb 2007
88.1 91.73954
Mar 2007
94.8 90.44343
Apr 2007
99.9 91.84529
May 2007
99.9 91.73992
Jun 2007
96.4 87.81494
Jul 2007
91.4 86.22614
Aug 2007
84.6 83.4421
Sep 2007
79.4 79.80438
Oct 2007
81.6 83.92795
Nov 2007
72.9 79.8198
Dec 2007
72.4 83.36643
Jan 2008
57.8 58.5781
Feb 2008
57.1 57.43404
Mar 2008
55.0 54.90889
Apr 2008
51.1 51.61145
May 2008
54.6 54.43455
Jun 2008
51.5 52.00304
Jul 2008
51.2 51.59786
Aug 2008
52.4 52.41629
Sep 2008
49.5 49.44623
Oct 2008
50.0 49.66279
Nov 2008
45.6 42.63412
Dec 2008
46.2 41.60352
Jan 2009
32.0 27.41697
Feb 2009
29.8 27.22307
Mar 2009
24.5 27.67765
Apr 2009
23.5 28.85624
May 2009
28.0 32.52897
Jun 2009
35.5 39.24156
Jul 2009
40.6 42.46702
Aug 2009
41.4 41.8174
Sep 2009
46.4 46.29873
Oct 2009
43.6 42.72301
Nov 2009
49.5 47.94636
Dec 2009
50.2 47.97953
Jan 2010
41.0 38.28713
Feb 2010
40.4 38.95334
Mar 2010
40.9 42.32002
Apr 2010
40.7 43.03702
May 2010
33.0 36.64656
Jun 2010
31.8 36.29046
Jul 2010
32.0 35.05898
Aug 2010
37.1 37.67421
Sep 2010
40.0 39.80066
Oct 2010
40.2 39.03625
Nov 2010
47.3 44.94972
Dec 2010
46.7 42.40052
easonal Adjustments
Multiplicative
91.06781
91.73954
90.44343
91.84529
91.73992
87.81494
86.22614
83.4421
79.80438
83.92795
79.8198
83.36643
58.5781
57.43404
54.90889
51.61145
54.43455
52.00304
51.59786
52.41629
49.44623
49.66279
42.63412
41.60352
Month
Additive
Multiplicative
Jan 2009 31.9625 27.41697
Feb 2009 29.7875 27.22307
Mar 2009 24.5375 27.67765
Apr 2009 23.5375 28.85624
May 2009 27.9625 32.52897
Jun 2009 35.5375 39.24156
Jul 2009 40.6375 42.46702
Aug 2009 41.3625 41.8174
Sep 2009 46.4125 46.29873
Oct 2009 43.5875 42.72301
Nov 2009 49.5125 47.94636
Dec 2009 50.1625 47.97953
Jan 2010 40.9625 38.28713
Feb 2010 40.3875 38.95334
Mar 2010 40.9375 42.32002
Apr 2010 40.7375 43.03702
May 2010 32.9625 36.64656
Jun 2010 31.8375 36.29046
Jul 2010 32.0375 35.05898
Aug 2010 37.0625 37.67421
Sep 2010 40.0125 39.80066
Oct 2010 40.1875 39.03625
Nov 2010 47.3125 44.94972
Dec 2010 46.6625 42.40052
Stochastic Processes and Stock Prices: Simulations

Initial Stock Price=
Sigma =
100 mu =
0.07
0.005
Hit F9 to generate another random process
[0,1] Normally distributed variable

Arithmetic [0,1] Brownian Motion
Geometric [0,1] Brownian Motion
Geometric Brownian Motion
Weiner Process
-0.8499
-0.5
0.0114 -1.2259
1.15932 0.0457 1.343757
-0.1724 -1.6854
-0.8848
0.18
100 99.1501
98.65
98.661 97.4352
98.5945
99.8115 98.1261 97.2414
97.421
97.8608
98.788
-11.02 -25.8203 -21.3688 14.6459 1.68791
1.9918
2.86708
5.5252
-4.879 -10.5354
98.64 99.98391
100 42.7471 21.354
21.597
100 94.2244 90.981
91.053 83.5656
90.6299
90.92 99.88744
98.6892 87.7067 82.4396
83.485
86.0931 91.8657
100 94.6967 91.895
92.429 85.2537
92.9242 93.689 103.4454
102.717 91.7437 86.6663
88.205
91.4168 98.0353
Weiner Process
Geometric Brownian Motion

120
140
100
120
100
S(t)
80
S(t)
0.43946 0.92712
60
40
80
60
40
20
20
20
39
58
77
96 115 134 153 172 191

t
21
41
61
81 101 121 141 161 181

t
Notice the drift on the Weiner Process - the Y-Axis scale has a higher maximum if mu > 0.
Note: The first two random variables are not driven off the input variables mu and sigma.
-0.652 -1.66891 -0.64201 -1.6782 -0.47211 -0.2652
-0.156 -0.0271
0.6346 0.564554
95.825
94.147
93.6748 93.4096 92.6166
92.037 92.02027
91.9296 91.10122
90.6036
91.1223
90.302 90.1462 90.1192
90.754 91.31834
1.922748 -1.28615 -0.46042
0.3122
0.16483 0.12112 0.02507
0.0105 0.010366
0.00943 0.001618
0.00081
0.00123
0.0002 0.00019 0.00018
0.0003 0.000466
87.76715
78.0901
74.6584
66.384
64.2257 63.0447 59.6404
57.27 57.20203
56.8401 53.63789
51.8016
53.7169
50.72 50.1695 50.0745
52.349 54.45933
94.13099
84.1721
80.8764
72.273
70.2742 69.3276 65.9129
63.61 63.85337
63.7674 60.47655
58.6989
61.1744
58.051 57.7086 57.8881
60.821 63.58987
98.13596
96.467
161 181 201
-0.793 -0.5795 -0.01688 -0.09068 -0.82837 -0.49764
0.51867 -0.8201
0.8782 -0.4802 0.76805 0.71521
-0.025
2.1614 -0.83868 -0.5298
0.00424 -2.58808
95.336
94.4973
93.967
93.9717
0.0009 0.00046 0.00081 0.00138 0.00135 0.00426
0.00069
0.0003
0.00032 -0.00051
57.912 55.9976 59.0906 62.1243 62.0158 72.1457
68.0321
65.555
65.5748
54.7089
82.2678
79.67
80.0933
67.1565 65.3343
92.197 91.7163 92.4843 93.1995 93.1746
67.96 66.0432 70.0404 74.0053 74.2464
86.807
-0.4644
2.3809 1.232557 -0.07134
91.3837 90.9192 93.3001

-0.0003
-0.0009
94.5327 94.46136
0.45582
94.893
95.3484 95.3179 96.8713
-0.00208 -0.00193 -0.0028 -0.00403
52.959 62.5634 68.20101 67.86128

77.57
0.4312
84.9837 84.98422
-0.0304 1.55338
-0.0039
-0.01
69.941
72.2084 72.0548 80.3316
88.028
91.3371 91.5996 102.633
1.25396 0.33485 -1.1136 -0.66678286 -0.82611986
-0.4744097 -0.17696171 -1.10235431 -1.49605483 -2.00512187
0.21255462
1.40599717 -1.01923247
98.1253 98.4601 97.3466
96.6797677
95.8536479
95.110934
94.6365243
94.4595625
90.0685861
91.4745833
-0.0225
-0.03 0.00341
0.00113558
0.00019746
5.0803E-05
2.6701E-05
2.1976E-05 -2.2494E-06
1.1158E-06 -1.1215E-06 -1.3599E-06 -3.2719E-06
6.2927E-08
87.7016 89.7816 83.0488
79.2616123
74.808053
71.0181563
68.6984672
67.8527264
62.8137983
56.5684229
49.1605956
49.8975161
55.0582119
51.2668709
103.31204
97.9958898
93.497581
90.8969898
90.2279788
83.9460864
75.9785396
66.3598628
67.6922177
75.0677486
70.248907
112.611
115.86 107.709
-0.7427139
93.3572082
91.8611534
89.8560315
90.4553508
-1.32666051
0.56799575
1.16426193
89.1286903
89.6966861
90.860948
1.01894844 -0.45296293
0.31371984
91.8798965
91.7406534
0.46423801
1.29655564 -0.03601079 -1.38762568
92.4703107
90.6645725
91.1288105
92.4253661
92.3893553
-2.0556E-08 -3.2231E-08 -6.9757E-08 -1.4084E-07 -7.7043E-08 -1.0121E-07 -2.0418E-07 -1.4545E-07
1.1719E-07
1.716E-07
3.9408E-07
3.7989E-07 -1.4726E-07
46.7202887
48.6152963
52.7432897
56.6426902
54.874872
56.0932749
60.2333845
59.0327245
52.0232256
53.7415758
58.8472922
58.6991394
53.2656293
64.3398065
67.2850597
73.3642347
79.1831039
77.096319
79.2031384
85.475241
84.1913293
74.5664193
77.4154925
85.1952615
85.4067435
77.8895085
91.4269335
1.01729759 -0.28764023 -1.80573826

92.757951
91.0017297
-0.9017381 -1.04776664
0.34113083 -0.55088141 -0.91742688 -0.89878495 -0.98957143 -0.01430641
-1.8845134 -0.77979376 -0.11709521
90.0999916
89.0522249
89.3933557
88.8424743
87.9250475
87.0262625
86.0366911
86.0223847
84.1378713
-1.447E-08
6.9116E-10
9.2694E-10
4.1631E-10
3.4376E-11
3.4793E-12
3.6285E-14
3.5765E-14 -3.1635E-14 -6.9662E-15 -6.1505E-15 -1.0773E-14
1.3954E-14
50.0073304
46.4708827
47.5939235
45.7935567
42.9451413
40.3264899
37.6276281
37.5899649
32.9443965
31.1943074
30.9396632
32.6110874
27.7707551
73.4914886
68.6366009
70.6476674
68.3159586
64.3877574
60.764672
56.9821789
57.2104812
50.3914331
47.9536836
47.8006365
50.6354706
43.3359908
83.3580775
83.2409823
0.75161966 -2.29526923
83.992602
81.6973327
-0.64435506 -0.47537508
-1.3357848
0.79175852
1.40331287 -1.54136938
0.89834686
0.28004133
79.2418178
80.0335763
81.4368892
79.8955198
80.7938667
81.073908
81.1446733
80.8274527
80.5493277
81.0661808
4.9628E-15
2.6036E-15 -8.7425E-16 -1.5665E-15 -3.7647E-15
2.0381E-15
3.869E-15
4.9525E-15
5.3029E-15
3.6207E-15
2.6137E-15
3.9646E-15 -9.4481E-17
26.5459883
25.6771729
23.3850621
24.7177237
27.2690523
24.4800032
26.0688436
26.58491
26.7169269
26.1302041
25.6264017
26.5705339
24.7329086
41.6323968
40.4716763
37.0436683
39.3509666
43.6303251
39.3641925
42.1291905
43.1785462
43.6104729
42.8665535
42.2507933
44.0269898
41.1874947
81.0529777
80.5776026
0.0707653 -0.31722062 -0.27812504
0.51685314 -1.02383095
80.0423498
-1.1090698 -0.65955389 -1.22289196

78.93328
78.2737261
77.0508342
0.57066129 -0.90980957 -3.08006652 -0.27164722

77.6214955
76.7116859
73.6316194
73.3599722
1.23881182
2.52547801
0.96050252 -0.73281709 -0.49981601
-0.1307168
74.598784
77.124262
78.0847645
76.7214146
77.3519474
76.8521314
1.0305E-17
3.5083E-18 -7.8197E-19 -1.2282E-18 -1.1077E-19
2.3041E-19
1.6782E-19
3.7572E-19
1.3246E-18
2.5969E-18
6.9385E-19
3.4705E-19
3.0169E-19
22.8854149
21.8528431
20.0600163
20.8775597
19.5893924
15.7901063
15.4926893
16.8961381
20.1633892
21.565692
20.4873275
19.7829292
19.6027375
38.3019113
36.7570861
33.9106319
35.4695606
33.4478735
27.0959307
26.7188217
29.2852822
35.1234338
37.7544637
36.0463827
34.9815016
34.8366231
0.26412382
0.54816038 -0.17792212
0.08305342
0.20251765 -0.45022541 -0.47743951 -1.83004568
0.98774216
0.28216668
0.97057177
0.04261876
1.19691394
76.9855384
77.5336988
77.3557767
77.4388301
77.6413478
77.1911224
76.7136828
75.8713793
76.153546
77.1241178
77.1667365
78.3636505
3.8137E-19
5.9042E-19
4.8537E-19
5.2568E-19
6.3214E-19
3.4754E-19
1.8161E-19 -1.5074E-19 -2.9964E-19 -3.8419E-19 -7.5707E-19 -7.8933E-19 -1.7341E-18
19.9685372
20.7496446
20.4928198
20.6123067
20.9065926
20.2579796
19.5921309
17.2364238
18.4703502
18.8387972
20.1631856
20.2234285
21.9908341
35.6645746
37.2454248
36.9688093
37.3707497
38.0942952
37.0974696
36.0579727
31.8814648
34.3350518
35.1955065
37.8586104
38.1620572
41.7051961
74.8836372
0.55096901
0.75802185 -0.27341841 -2.51646728
78.9146195
79.6726413
0.2379442
0.309041
1.00438224
0.26281612
0.45004409
0.39788324
0.14836042
79.3992229
76.8827556
77.1206998
77.4297408
78.4341231
78.6969392
79.1469833
79.5448665
79.693227
0.10541358 -1.51975868
-2.6895E-18 -4.7283E-18 -3.4355E-18
5.2098E-18
6.4494E-18
8.4425E-18
1.6922E-17
2.1369E-17
3.0987E-17
4.3316E-17
4.9742E-17
5.4986E-17 -2.8579E-17
22.8555406
24.1010424
23.6441519
19.8253832
20.158362
20.5991963
22.0995847
22.5099165
23.2303365
23.8864382
24.1357969
24.3145525
21.8607312
43.5623637
46.1665305
45.5183617
38.3579992
39.1977436
40.255718
43.4043128
44.4318226
46.0836869
47.6227625
48.361115
48.9634955
44.2427681
79.7986405
78.2788819
-0.13028227
1.8913395
1.53439014
1.32843444 -0.69205792 -0.15555264
1.71312532
-0.3348289
2.13166631 -0.57442741 -0.33196648
0.91815357 -1.07924569
78.1485996
80.0399391
81.5743292
82.9027637
83.7682784
83.4334495
85.5651158
85.5768755
-2.4856E-17 -7.1867E-17 -1.8214E-16
-4.241E-16
82.2107057
82.0551531
84.9906884
-1.306E-16 -1.1028E-16 -2.9921E-16 -1.9903E-16 -6.2328E-16 -2.6525E-16
84.6587219
-1.772E-16 -3.3989E-16
84.4976298
2.6935E-17
21.6622729
24.7287352
27.5326685
30.2157604
28.7868764
28.4751255
32.1030066
31.3593248
36.4058074
34.9709734
34.1676993
36.4357881
33.7845732
44.0608735
50.5501508
56.5640281
62.3874197
59.7350884
59.384361
67.285831
66.0565806
77.0710942
74.4046454
73.0599784
78.3003031
72.9667806
-0.730695 -0.79848072
1.19665738
0.8582389 -1.94925983
0.48581691
0.18426316
1.60841126 -1.94153402
82.7265571
81.6474262
81.0016515
81.4874685
81.6717316
83.2801429
-5.664E-18 -7.3948E-18 -2.5652E-18
2.0299E-19
7.1903E-20
1.0683E-19
1.2652E-19
3.3002E-19 -3.1072E-19
29.8453545
27.6739084
26.4507842
27.3657708
27.7210323
31.0245926
27.0820953
66.7549993
62.2083992
59.7569678
62.1339776
63.2560897
71.1492789
62.4191931
83.0740906
0.30557655 -0.65310997 -1.07913093 -0.64577467

83.3796671
83.7669348
82.9684541
84.1651115
85.0233504
7.2537E-18
1.4618E-18
3.211E-18
5.9668E-18
32.0999873
30.3550224
33.0072753
35.0510203
30.5803161
31.2414862
69.6759793
66.2186389
72.3653789
77.2312923
67.7183051
69.5292055
81.3386088
-0.53481131
0.70930369
0.09436961 -0.23008436
0.37568685
0.13754989
0.94606223
0.96835015
80.8037975
81.5131012
81.6074708
81.7530733
81.8906232
82.8366854
83.8050356
1.59689213
0.68104335 -1.80939236
84.5490228
82.0490198
83.6459119
84.3269552
-1.4454E-19 -2.4707E-19 -2.7039E-19 -2.0817E-19 -2.8638E-19 -3.2577E-19 -6.3398E-19 -1.2479E-18 -2.1763E-18
3.2645E-18
8.4775E-18
1.4251E-17 -1.1535E-17
26.0869719
27.4149171
27.596616
27.1557077
27.8793238
28.1490561
30.0763209
32.185714
33.9063324
28.4629028
31.8291975
33.383343
29.4119072
60.4269996
63.8213183
64.5663353
63.8532348
65.8833216
66.8541791
71.789496
77.2095134
81.7447661
68.9651685
77.508222
81.7002494
72.3416178
81.3773865
0.7439872 -2.50000304
82.5175629
0.18417753 -0.26022299
0.76581499
0.49885323
0.20944327 -1.44320608
1.33534673
0.57524118 -1.27848174 -0.60817093 -0.75688306 -1.31084382
1.58783106
82.7017404
83.2073324
83.7061856
83.9156289
82.4724228
83.8077696
84.3830107
82.4963581
81.739475
80.4286312
82.0164622
-1.3659E-17 -1.0105E-17 -1.7843E-17 -2.6744E-17 -3.2345E-17
1.4336E-17
3.3479E-17
5.2737E-17 -1.4686E-17 -5.7545E-18
-1.399E-18
4.3488E-19
1.1254E-18
82.4415174
83.104529
29.793553
29.2557583
30.8668708
31.9637738
32.4358477
29.3191181
32.1918742
33.5145928
30.6455428
29.3682824
27.8527986
25.4108026
28.3981089
73.647634
72.6807388
77.0676384
80.2063896
81.798934
74.3095731
81.9995744
85.7967339
78.8452616
75.9378508
72.3802477
66.3653029
74.5390051
0.90995298 -0.59694474
1.89256194
0.46749248 -0.92495801 -0.60146723 -0.73155177
1.29206909
0.38187858
0.7715534
0.41392253 -0.80533743 -1.80010319
82.9264152
82.3294705
84.2220324
84.6895249
83.7645669
83.1630997
82.4315479
83.723617
84.1054956
84.877049
85.2909715
84.4856341
2.1494E-18
8.6634E-19
2.5059E-18
3.6775E-18
2.7596E-19
1.0998E-19
2.9524E-20
6.7671E-20
9.3514E-20
1.6566E-19
2.3424E-19
4.5597E-20 -3.6482E-20
30.2658273
29.0271945
33.139054
34.2414514
32.094667
30.7714458
29.2353488
32.0027996
32.8698192
34.6938912
35.7138369
33.7562161
29.7597664
79.8395707
76.9559456
88.2975585
91.6921647
86.3742734
83.2282776
79.4699165
87.4286801
90.247408
95.7330524
99.0414244
94.0817958
83.359064
82.6855309
Ornstein-Uhlenbeck Process Simulation

r0 =
k=
=
0.05
0
0.02
rt = rt-1 + k(r0 - rt-1) + e t

Ornstein-Uhlenbeck Process
0.00922
-0.01
0.0116 -0.0031 -0.00623 0.0305 -0.02624
0.00888 0.01684 0.01753 -0.0107 -0.01255 0.00168
0.05 0.05922
0.049
0.0606 0.05748
0.06436
0.05125 0.0817 0.055477
0.0812 0.09873
0.088
0.07544 0.07712
Ornstein-Uhlenbeck (Vasicek) Process

0.6
0.5
r(t)
0.4
0.3
0.2
0.1
0
1
20
39
58
77
96
115
134
153
172
191
t
Notice that as k gets closer to 1, the process becomes more mean reverting. As k approaches 0, the process looks like Brownian motion.
-0.00358 -0.00677
0.073542
0.06677
0.011
0.0201
0.07777
0.0979
0.0286 0.01781
0.12649
-0.0042 -0.0042 0.012794
0.1443 0.14012
0.136
0.14875
0.01262 0.005146 -0.02752
0.03682 -0.0034
0.16137 0.166521
0.17583
0.139
-0.0379 -0.0227 -0.0003 0.012528
0.1725 0.13456 0.11186
0.1116 0.124113
0.0005
-0.026 0.01482
0.1246 0.09869
-0.0277 -0.0148 0.02914
0.01954
0.0032
0.01485
0.01323 0.00104
0.1135 0.08576 0.07091 0.10005
0.11959
0.1228
0.13761
0.15084 0.15188 0.14208
-0.0098
-0.00857 0.005095 -0.0094

0.13351 0.138605
0.1292
0.00392
-0.0001 0.00478
0.1331 0.13296 0.13774
-0.0073 0.04818 0.02319
0.02747697
0.02478608 -0.01886236
0.13044 0.17862 0.20181
0.22928971
0.25407579
0.23521343
0.0098968
-0.0318259
0.01504965
0.02703555
0.02015233 -0.02761557 -0.03058794
0.03452155
0.24511023
0.21328433
0.22833397
0.25536952
0.27552186
0.25183989
0.24790628
0.21731834
-0.00756133
0.01589886
0.00323862 -0.00993219 -0.02778546
0.01533044
0.24427856
0.26017743
0.26341605
0.24102883
0.25348385
0.2256984
0.05546587 -0.04328438
0.2964947
0.25321032
0.02255691
0.01442443
0.00702754
0.27576723
0.29019166
0.2972192
-0.0227211 -0.00846014
0.27449811
0.26603797
-0.00804388
0.02281653
0.01989133 -0.00488908 -0.01182766
0.00014724
-0.0227141 -0.00212528
0.25799409
0.28081062
0.30070196
0.28413245
0.26141835
0.29581288
0.28398521
0.25929307
0.0302499
-0.0082639
0.01661676 -0.02240502
0.03744127
0.28954297
0.28127907
0.29789583
0.31293209
0.27549081
0.01373038 -0.03512939 -0.00675502
0.02077431
0.02112204
0.32666246
0.30555236
0.3266744
0.29153307
0.28477805
0.03388211 -0.02074025
0.01744816
-0.0160042
0.02469024 -0.04223246
0.01616464
0.00281973
0.36055651
0.35726441
0.34126021
0.36595045
0.33988263
0.34270235
0.33981626
0.32371799
0.01911256 -0.00622796 -0.00239482
0.02064891 -0.01090523
0.00088572 -0.00457182
0.01949271 -0.02285796
0.02049838 -0.01359739 -0.03567627 -0.02351654
0.36181492
0.37384104
0.36382153
0.37874242
0.37638284
0.35558696
0.35319213
0.36293581
0.35924971
0.35588447
0.36278545
0.32710918
0.30359264
0.02010076
0.0224902
0.0165166 -0.02133508 -0.00266771
0.00252376 -0.00505156 -0.02696929 -0.00345449
0.00531649
0.00444032
-0.0131488
0.01800304
0.3236934
0.3461836
0.3627002
0.34122118
0.31106234
0.31550265
0.30235385
0.32035689
0.34136513
0.33869742
0.33616962
0.30920033
0.30574584
-0.00282935 -0.00389262
0.31752754
0.31363492
0.03538106
0.01095578
0.01449803
0.00532265 -0.00951012 -0.00450914
0.00965511
-0.0054678
0.0143896
0.0004951
0.00928456
0.34901598
0.35997176
0.37446979
0.37979245
0.37542829
0.36996049
0.38435009
0.38484519
0.39412976
0.37028232
0.36577319
0.04151668
0.02079516
0.01675441
0.02467294
0.02018568
0.43564644
0.4564416
0.473196
0.49786894
0.51805463
0.0121678 -0.02707985 -0.01584133

0.53022243
0.50314258
0.48730125
0.04736141
0.00171291 -0.03189088 -0.00740667
0.01685944
0.53466266
0.53637557
0.51393746
0.50448469
0.49707802
0.00410227 -0.04415172 -0.00073261 -0.00020818 -0.01846545 -0.00684099

0.51803972
0.473888
0.47315539
0.47294721
0.45448176
0.44764077
0.05551203 -0.01279057 -0.01716034

0.5031528
0.49036223
0.47320189
0.01606073 -0.00426015 -0.00944509
0.00225407
0.48926262
0.47781145
0.48500247
0.47555738
0.04214756
0.00387786
0.02315259
0.00975167 -0.02085732 -0.00320772
0.519959
0.52383687
0.54698945
0.55674113
0.53588381
0.53267609
0.01456551 -0.01048297 -0.00289632

0.5472416
0.53675863
0.53386231
0.00044712
0.53430943
0.0116744 -0.01267622
0.54598383
0.53330761
0.00502833
0.53833594
0.0002835
0.53861944
0.01691666 -0.00971148 -0.00414819

0.5555361
0.54582462
0.54167643
0.0145956
0.55627203
-0.0247814 -0.02870572 -0.04367802

0.53149064
0.50278491
0.45910689
0.0069918
0.46609869
0.00332085 -0.03665274 -0.03067732

0.46941955
0.43276681
0.40208949
0.012368
0.41445749
0.03351135
0.00123573 -0.02479439
0.01886825
0.00359542 -0.01526495
0.02732849
0.00592983
0.44796884
0.44920457
0.44327842
0.44687385
0.45893739
0.46486723
0.42441017
0.4316089
0.0205083 -0.00591331
0.48537552
0.47946222
0.01266028 -0.00453855
0.4921225
0.48758394
0.04704151
0.53462546
Pairs Trading and the Ornstein-Uhlenbeck Process

D Diff.
Date
Adj Close Adj Close Diff.
1/3/2012
117925
78.37
370
65
12/1/2011
114755
76.3
305
-55
11/1/2011
118500
78.76
360
200
10/3/2011
116950
77.86
160
-80
9/1/2011
106800
71.04
240
-29
8/1/2011
109769
73
269
24
7/1/2011
111500
74.17
245
225
6/1/2011
116105
77.39
20
-150
5/2/2011
118775
79.07
170
370
4/1/2011
124750
83.3
-200
-55
3/1/2011
125300
83.63
-145
-525
2/1/2011
131300
87.28
380
580
1/3/2011
122425
81.75
-200
-485
12/1/2010
120450
80.11
285
-395
11/1/2010
120200
79.68
680
720
10/1/2010
119300
79.56
-40
-520
9/1/2010
124500
82.68
480
-25
8/2/2010
118675
78.78
505
685
7/1/2010
117000
78.12
-180
-645
6/1/2010
120000
79.69
465
380
5/3/2010
105910
70.55
85
260
4/1/2010
115325
77
-175
-70
3/1/2010
121800
81.27
-105
290
2/1/2010
119800
80.13
-395
-350
1/4/2010
114600
76.43
-45
-665
12/1/2009
99200
65.72
620
610
11/2/2009
100600
67.06
10
-500
10/1/2009
99000
65.66
510
-800
9/1/2009
101000
66.46
1310
-960
8/3/2009
100850
65.72
2270
685
7/1/2009
97000
63.61
1585
-1535
6/1/2009
90000
57.92
3120
680
5/1/2009
91600
59.44
2440
390
4/1/2009
94000
61.3
2050
-50
3/2/2009
86700
56.4
2100
420
2/2/2009
78600
51.28
1680
1848
1/2/2009
89502
59.78
-168
-348
12/1/2008
96600
64.28
180
1150
11/3/2008
104000
69.98
-970
-1260
10/1/2008
115490
76.8
290
1540
9/2/2008
130600
87.9
-1250
-790
8/1/2008
116600
78.04
-460
-40
7/1/2008
114450
76.58
-420
-810
6/2/2008
120750
80.24
390
680
m - Diff.
-2.68852
62.31148
7.311475
207.3115
127.3115
98.31148
122.3115
347.3115
197.3115
567.3115
512.3115
-12.6885
567.3115
82.31148
-312.689
407.3115
-112.689
-137.689
547.3115
-97.6885
282.3115
542.3115
472.3115
762.3115
412.3115
-252.689
357.3115
-142.689
-942.689
-1902.69
-1217.69
-2752.69
-2072.69
-1682.69
-1732.69
-1312.69
535.3115
187.3115
1337.311
77.31148
1617.311
827.3115
787.3115
-22.6885
m-Diff.Lag
62.31148
7.311475
207.3115
127.3115
98.31148
122.3115
347.3115
197.3115
567.3115
512.3115
-12.6885
567.3115
82.31148
-312.689
407.3115
-112.689
-137.689
547.3115
-97.6885
282.3115
542.3115
472.3115
762.3115
412.3115
-252.689
357.3115
-142.689
-942.689
-1902.69
-1217.69
-2752.69
-2072.69
-1682.69
-1732.69
-1312.69
535.3115
187.3115
1337.311
77.31148
1617.311
827.3115
787.3115
-22.6885
657.3115
SUMMARY OUTPUT
Multiple R 0.385676
R Square 0.148746
Adjusted R Square
0.133812
Observations
59
ANOVA
df
Regression
Residual
Total
1
57
58
Coefficients
Intercept -0.49198
X Variable 1 0.29731
RESIDUAL OUTPUT
ObservationPredicted Y
1 18.03385
2 1.681798
3 61.14382
4 37.35901
5 28.73702
6 35.87246
7 102.7672
8 58.17071
9 168.1754
10 151.8234
11 -4.2644
12 168.1754
13 23.98005
14 -93.4574
15 120.6058
16 -33.9954
17 -41.4282
18 162.2292
19 -29.5358
20 83.44207
5/1/2008
4/1/2008
3/3/2008
2/1/2008
1/2/2008
12/3/2007
11/1/2007
10/1/2007
9/4/2007
8/1/2007
7/2/2007
6/1/2007
5/1/2007
4/2/2007
3/1/2007
2/1/2007
1/3/2007
134650
133850
133400
140000
136000
141600
140100
132500
118510
118390
110000
109475
109490
109200
108990
106190
110050
89.96
-290
89.14
140
89.46
-790
93.49
-235
91
-500
94.72
-480
93.8
-600
88.28
80
79.04
-50
77.8
1690
72.08
1880
72.1
1325
72.5
740
72.56
360
72.8
-210
70.46
500
73.35
25
m = 367.311
-430
930
-555
265
-20
120
-680
130
-1740
-190
555
585
380
570
-710
475
657.3115
227.3115
1157.311
602.3115
867.3115
847.3115
967.3115
287.3115
417.3115
-1322.69
-1512.69
-957.689
-372.689
7.311475
577.3115
-132.689
227.3115
1157.311
602.3115
867.3115
847.3115
967.3115
287.3115
417.3115
-1322.69
-1512.69
-957.689
-372.689
7.311475
577.3115
-132.689
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
160.7427
139.931
226.1509
122.0924
-75.6188
105.7403
-42.9147
-280.763
-566.18
-362.523
-818.894
-616.723
-500.772
-515.638
-390.768
158.6615
55.19761
397.1042
22.4935
480.351
245.4761
233.5837
-7.2375
194.9334
67.09002
343.5884
178.5813
257.3685
251.4223
287.0995
84.92862
123.5789
-393.741
-450.23
-285.222
-111.296
1.681798
171.1485
-39.9416
dr = k ( m r )dt sdz
D Diff. = k(m - Diff.) + e
k = .29731
SS
MS
F
Significance F
3984260 3984260 9.960038 0.002555
22801403 400024.6
26785664
Upper 95.0%
82.34302 -0.00597 0.995254 -165.381 164.3971 -165.381 164.3971
0.094206 3.155953 0.002555 0.108666 0.485955 0.108666 0.485955
Residuals
46.96615
-56.6818
138.8562
-117.359
-57.737
-11.8725
122.2328
-208.171
201.8246
-206.823
-520.736
411.8246
-508.98
-301.543
599.3942
-486.005
16.42816
522.7708
-615.464
296.5579
Lag. Residuals
-56.6818
138.8562
-117.359
-57.737
-11.8725
122.2328
-208.171
201.8246
-206.823
-520.736
411.8246
-508.98
-301.543
599.3942
-486.005
16.42816
522.7708
-615.464
296.5579
99.2573
Regression of Residuals on Lagged Residuals

SUMMARY OUTPUT
Multiple R 0.194424
R Square 0.037801
Adjusted R Square
0.020619
Standard Error
619.6202
Observations
58
ANOVA
df
Regression
Residual
Total
SS
MS
F
Significance F
1 844645.9 844645.9 2.200004 0.143617
56 21500038 383929.3
57 22344684
Coefficients
P-value Lower 95%Upper 95%
Intercept
11.39687 81.36019 0.140079
0.8891 -151.587 174.3809
X Variable 1 -0.19248 0.129768 -1.48324 0.143617 -0.45243 0.067479
99.2573
-209.931
63.84909
-472.092
-589.381
504.2597
-457.085
-519.237
-393.82
1047.523
-716.106
1296.723
890.7723
465.6378
810.7675
1689.338
-403.198
752.8958
-1282.49
1059.649
-1035.48
-273.584
-802.762
485.0666
-497.09
586.4116
-733.581
7.631526
-271.422
-167.099
-764.929
6.421066
-1346.26
260.2295
840.2224
696.296
378.3182
398.8515
-670.058
-209.931
63.84909
-472.092
-589.381
504.2597
-457.085
-519.237
-393.82
1047.523
-716.106
1296.723
890.7723
465.6378
810.7675
1689.338
-403.198
752.8958
-1282.49
1059.649
-1035.48
-273.584
-802.762
485.0666
-497.09
586.4116
-733.581
7.631526
-271.422
-167.099
-764.929
6.421066
-1346.26
260.2295
840.2224
696.296
378.3182
398.8515
-670.058
0
Lower 95.0%
Upper 95.0%
-151.587 174.3809
-0.45243 0.067479
Cox, Ingersoll and Ross (CIR) Process Simulation

r0 =
k=
=
0.05
0.1
0.05
rt = rt-1 + k(r0 - rt-1) + rt.5e t

Ornstein-Uhlenbeck Process

-0.047
0.0181 -0.0121
0.05 0.05241 0.0415
0.01077
0.046 0.04383
0.11457 0.0194
0.02984 -0.01574 -0.0619
0.06844 0.0717 0.077499
0.07037
-0.0186
0.0519 0.04746
0.0013 -0.01724
0.048
-0.0908
0.04443 0.02585
Cox, Ingersoll and Ross (CIR) Process

0.16
0.14
0.12
r(t)
0.1
0.08
0.06
0.04
0.02
0
1
20
39
58
77
96
115
134
153
172
191
t
Notice that as k gets closer to 1, the process becomes more mean reverting. As k approaches 0, the process looks like Brownian motion.
-0.0277
0.023808
0.00854 -0.02793 -0.0132
0.03759 -0.0408 0.02677
0.0175 0.032547 -0.03895 0.000575
0.07136
0.09822 -0.0869
0.02774
0.03415
0.0396 0.047166
0.05549
0.07808
0.02532
0.0257
0.0282 0.03488
0.03899 0.040205
-0.096
0.0252 -0.02713
0.051 0.06355 0.03799
0.0561
0.0441 0.039003
-0.0376 0.02135
-0.053
0.04323
0.0208 -0.04522
0.0327 0.03826 0.03537 0.02963 0.03906 0.02967
-0.0208
-0.0383 0.04293
0.03915
0.0444
0.03539
0.0623
0.04857
-0.045 0.10019 0.069516 0.068905 -0.0294 -0.02058 0.01386

0.0388 0.05965 0.075666 0.092053
0.0789
0.07025
0.0719
-0.1157
0.0387
0.11911 0.00506 -0.0323 -0.03219821 -0.00937053
0.05165275
0.01028439
0.05606653
0.06326
0.05575849
0.05761112
0.07030727
0.0632 0.05376
0.04591599
0.04431647
-0.0432752 -0.05072914 -0.04826767

0.0568019
0.04403136
0.0344999
0.00925156
-0.0311473
0.04625715
0.03776831
0.03293829
0.04303963
0.07044695 -0.03900289 -0.04235031
-0.0062295
0.08061743
0.06702645
0.02695041 -0.00436893
-0.0172711 -0.01865088
0.05913231
0.03292842 -0.04337274
0.05835059
0.03886718
0.05587399
0.07113009
0.07620482
0.06549397
0.07263838
0.07924925
0.04809404
0.03899707
0.07237829
0.05917148
0.06411436
0.05506474
0.0279755 -0.07208764 -0.08046707
0.00652219
0.01746078 -0.03771375
0.07664576
0.0817262
0.04027053
0.04474742
0.05794531
0.03778088
0.03729487
0.0156574 -0.06470482
0.04158912
0.02923469
0.03085762 -0.06437911
0.0365873
0.02561426
0.03349429 -0.01868565
0.03341341
0.03165646
-0.0516844
0.0406022
0.02429499
0.03319409
0.0811234 -0.06413067
0.04965476
0.03539882
0.12707237 -0.00521285 -0.10684187

0.06076707
0.05840534
0.03174412
0.02248201
0.04023773
-0.0242796
0.00799585
0.03857176
0.07311554
0.0375753
0.04661759
0.0417136
0.04417531
0.05286476
0.06938925
0.08460231
0.02108841 -0.00070811 -0.02152357
0.05178069
-0.0204238
-0.0114184
0.05603324 -0.06441549
0.08973613
0.09207976
0.08918376
0.07916609
0.07303675
0.08587623
0.08765691
0.07751876
0.06341188
0.00557073 -0.03619343
0.0634735
0.05300759
0.00691713
0.0377654
0.05429939
0.06266963
-0.03066865 -0.07427348 -0.04820834 -0.06030833

0.05372511
0.03613699
0.02835901
0.02036711
0.02652112
0.06619058
0.0411199
0.08400884
0.08349711 -0.08361584
0.00304042
0.04014684
0.04356576
0.02711531
0.0403032
0.04952798
0.06827125
0.08826089
0.05937645
0.0682215
0.0777784
0.05959359
-0.05392719 -0.00487249 -0.05302156

0.05996092
0.05777171
0.04425041
0.09083061 -0.08593267
0.0639323
0.04081113
0.00667054 -0.01822587
0.01011407 -0.06379261 -0.03753186 -0.04885895 -0.02539661
0.03692196
0.04307759
0.04301081
0.02797218
0.03998702
0.03047975
0.02587929
0.0204314
0.01975811
0.01892573
0.1730972
0.05555836
0.04074286 -0.01821879 -0.02732585
0.03334027
0.06661261
0.07929064
0.08783419
0.0786513
0.06812268
0.05271041 -0.06581624
0.080068
0.05843765
0.06675731
0.02715821 -0.06155927
0.04633854
0.0201108
0.07373171
0.07873297
0.06894394
0.07233008
0.05858651
0.07380985
0.08994768
0.02069364 -0.00224775 -0.01317526 -0.01158305 -0.03847506 -0.06086467

0.0921592
0.08726091
0.07964285
0.07340971
0.06064422
0.04459123
0.02903828
0.04921069 -0.02407126
0.02340436 -0.05773858
0.07185676
0.05126402
0.06227968
0.06003109
0.06061619
0.05504452
0.04488131
0.09204066 -0.00696856
0.08221531
0.07699567
0.0346993
0.04374882
0.08863611
0.12221741
0.02432803 -0.02122118
0.03123042
0.03233169
0.00677017 -0.01182888
0.09872175
0.08392449
0.09320596
0.11594566
0.15096709
0.15032291
0.13520584
0.13857373
0.13223659
0.14689736
0.13206285
0.11971143
-0.06709592
0.0464665
0.00104429
0.02855445 -0.00663431
0.03682447
0.03871263
0.00456325 -0.02943164
0.11677652
0.06010087 -0.01494888
0.05056564
0.11149165
0.12085781
0.11413508
0.11736837
0.11464465
0.12128797
0.11574839
0.13101696
0.14466953
0.13976281
0.10835868
0.09916037
0.12951671
-0.04796643
0.11285435
0.05201542 -0.12563347
0.06571248
0.01969708 -0.04909704
0.12404287
0.08783204
0.08988636
0.07239082
0.07117791
-0.0377426
0.10773075
-0.0882337
0.07083359
0.08542471 -0.00220751
0.06953032
0.0589907
0.08425728
0.05521986
0.07134299
0.09202573
0.10396472
0.08715349
CPWN Weekly Stock Prices, 2010 and Serial Correlation

Closing
Week Ending Price
1/4/2010
0.98
1/11/2010
1.35
1/19/2010
1.24
1/25/2010
1.2
2/1/2010
1.16
2/8/2010
1.24
2/16/2010
1.38
2/22/2010
1.29
3/1/2010
1.97
3/8/2010
2.3
3/15/2010
1.82
3/22/2010
2.34
3/29/2010
2.16
4/5/2010
3.54
4/12/2010
4.55
4/19/2010
5.47
4/26/2010
5.43
5/3/2010
4.8
5/10/2010
5.45
5/17/2010
4.8
5/24/2010
4.65
6/1/2010
5.28
6/7/2010
4.86
6/14/2010
4.77
6/21/2010
3.83
6/28/2010
3.37
7/6/2010
3.22
7/12/2010
3.2
7/19/2010
3.51
7/26/2010
3.43
8/2/2010
3.36
8/9/2010
3.17
8/16/2010
3.09
8/23/2010
3.52
8/30/2010
3.8
9/7/2010
3.78
9/13/2010
4
9/20/2010
4.07
9/27/2010
4.16
10/4/2010
5.14
10/11/2010
5.21
10/18/2010
5.25
10/25/2010
5.16
t
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
31
32
33
34
35
36
37
38
39
40
41
42
43
SUMMARY OUTPUT
Multiple R 0.792151
R Square 0.627503
Adjusted R Square
0.620053
Standard Error
1.575075
Observations
52
ANOVA
df
Regression
Residual
Total
SS
MS
F
Significance F
1 208.9615 208.9615 84.22942 2.66E-12
50 124.0431 2.480861
51 333.0046
Coefficients
P-value Lower 95%
Intercept
0.810475 0.443225 1.828587 0.07343 -0.07977
X Variable 1 0.133567 0.014553 9.177659 2.66E-12 0.104335
RESIDUAL OUTPUT
Difference
1 0.944042 0.035958 NA
SUMMARY OUTPUT
2 1.077609 0.272391 0.035958 0.236433
3
4
5
6
7
8
1.211176 0.028824 0.272391 -0.24357 Regression Statistics

1.344743 -0.14474 0.028824 -0.17357 Multiple R
1.47831 -0.31831 -0.14474 -0.17357 R Square
1.611877 -0.37188 -0.31831 -0.05357 Adjusted R Square
1.745444 -0.36544 -0.37188 0.006433 Standard Error
1.879011 -0.58901 -0.36544 -0.22357 Observations
9 2.012578 -0.04258
10 2.146145 0.153855
11
12
13
14
15
2.279712 -0.45971
2.413279 -0.07328
2.546846 -0.38685
2.680413 0.859587
2.81398
1.73602
16 2.947547 2.522453
17 3.081114 2.348886
18 3.214681 1.585319
19 3.348248 2.101752
-0.58901
-0.04258
0.153855
-0.45971
-0.07328
-0.38685
0.859587
1.73602
2.522453
2.348886
1.585319
0.546433
0.196433 ANOVA
-0.61357
0.386433 Regression
-0.31357 Residual
1.246433 Total
0.876433
0.786433
Coefficients
-0.17357 Intercept
-0.76357 X Variable 1
0.516433
11/1/2010
5.55
11/8/2010
5.28
11/15/2010
7.24
11/22/2010
7.83
11/29/2010
9.18
12/6/2010
10.3
12/13/2010
11.05
12/20/2010
11.77
12/27/2010
9.7
Date
Adj Close
44
45
46
47
48
49
50
51
52
T
20
21
22
23
3.481815
3.615382
3.748949
3.882516
1.318185
1.034618
1.531051
0.977484
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
4.016083
4.14965
4.283217
4.416783
4.55035
4.683917
4.817484
4.951051
5.084618
5.218185
5.351752
5.485319
5.618886
5.752453
5.88602
6.019587
6.153154
6.286721
6.420288
6.553855
6.687422
6.820989
6.954556
7.088123
7.22169
7.355257
7.488824
7.622391
7.755958
0.753917
-0.31965
-0.91322
-1.19678
-1.35035
-1.17392
-1.38748
-1.59105
-1.91462
-2.12819
-1.83175
-1.68532
-1.83889
-1.75245
-1.81602
-1.85959
-1.01315
-1.07672
-1.17029
-1.39386
-1.13742
-1.54099
0.285444
0.741877
1.95831
2.944743
3.561176
4.147609
1.944042
2.101752
1.318185
1.034618
1.531051
0.977484
0.753917
-0.31965
-0.91322
-1.19678
-1.35035
-1.17392
-1.38748
-1.59105
-1.91462
-2.12819
-1.83175
-1.68532
-1.83889
-1.75245
-1.81602
-1.85959
-1.01315
-1.07672
-1.17029
-1.39386
-1.13742
-1.54099
0.285444
0.741877
1.95831
2.944743
3.561176
4.147609
-0.78357
-0.28357
0.496433 RESIDUAL OUTPUT
-0.55357
-0.22357Observation
-1.07357
1
-0.59357
2
-0.28357
3
-0.15357
4
0.176433
5
-0.21357
6
-0.20357
7
-0.32357
8
-0.21357
9
0.296433
10
0.146433
11
-0.15357
12
0.086433
13
-0.06357
14
-0.04357
15
0.846433
16
-0.06357
17
-0.09357
18
-0.22357
19
0.256433
20
-0.40357
21
1.826433
22
0.456433
23
1.216433
24
0.986433
25
0.616433
26
0.586433
27
-2.20357
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
Significance F

Upper 95.0%
1.700718 -0.07977 1.700718
0.162799 0.104335 0.162799
SUMMARY OUTPUT
0.91477
0.836804
0.833474
0.642748
51
df
SS
MS
F
Significance F
1 103.7986 103.7986 251.2525 6.35E-21
49 20.24311 0.413125
50 124.0418
Coefficients
Upper 95.0%
0.034719 0.09003 0.385636 0.701436
-0.1462 0.215642
-0.1462 0.215642
0.929314 0.058628 15.85095 6.35E-21 0.811496 1.047131 0.811496 1.047131
RESIDUAL OUTPUT
Predicted Y Residuals
0.068135 0.204256
0.287856 -0.25903
0.061505 -0.20625
-0.09979 -0.21852
-0.26109 -0.11079
-0.31087 -0.05457
-0.30489 -0.28412
-0.51266 0.470079
-0.00485 0.158704
0.177699 -0.63741
-0.3925 0.319219
-0.03338 -0.35347
-0.32478 1.184369
0.833545 0.902475
1.648026 0.874427
2.378869 -0.02998
2.217571 -0.63225
1.507978 0.593775
1.987906 -0.66972
1.259726 -0.22511
0.996204 0.534848
1.457546 -0.48006
0.943108 -0.18919
0.735345 -1.05499
-0.26234 -0.65088
-0.81395 -0.38284
-1.07747 -0.27288
-1.22018 0.046263
-1.05622 -0.33127
-1.25469 -0.33636
-1.44387 -0.47075
-1.74456 -0.38362
-1.94303 0.11128
-1.66755 -0.01777
-1.53147 -0.30742
-1.67418 -0.07827
-1.59386 -0.22216
-1.65293 -0.20665
-1.69342 0.680266
-0.90682
-0.1699
-0.96589
-0.2044
-1.05285
-1.26061
-1.0223
-1.39734
0.299986
0.724155
1.854603
2.771308
3.344168
3.889148
-0.34101
0.123187
-0.51869
1.682787
0.441891
1.234155
1.09014
0.789868
0.803441
-1.94511
-2.4E-16 1.944042
New Privately Owned Single Housing Units Started

Jan 2007
Feb 2007
Mar 2007
Apr 2007
May 2007
Jun 2007
Jul 2007
Aug 2007
Sep 2007
Oct 2007
Nov 2007
Dec 2007
Jan 2008
Feb 2008
Mar 2008
Apr 2008
May 2008
Jun 2008
Jul 2008
Aug 2008
Sep 2008
Oct 2008
Nov 2008
Dec 2008
Jan 2009
Feb 2009
75.4
82.9
101.3
111.4
111.4
110.1
100.1
86.6
78.6
77.4
58.6
52.3
48.5
51.9
61.5
62.6
66.1
65.2
59.9
54.4
48.7
45.8
31.3
26.1
22.7
24.6
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
SUMMARY OUTPUT
Mar 2009
Apr 2009
May 2009
Jun 2009
Jul 2009
Aug 2009
31.0
35.0
39.5
49.2
49.3
43.4
27
28
29
30
31
32
Sep 2009
Oct 2009
45.6
39.4
33
34
9 74.28549
10 72.96626
Nov 2009
Dec 2009
Jan 2010
Feb 2010
35.2
30.1
31.7
35.2
35
36
37
38
11
12
13
14
Mar 2010
47.4
39
15 66.37014 -4.870137
Apr 2010
May 2010
Jun 2010
52.2
44.5
45.5
40
41
42
16 65.05091 -2.450912
17 63.73169 2.368313
18 62.41246 2.787538
Jul 2010
Aug 2010
Sep 2010
Oct 2010
Nov 2010
40.7
39.1
39.2
36.0
33.0
43
44
45
46
47
19
20
21
22
23
Multiple R 0.770641
R Square 0.593887
Adjusted R Square
0.585059
Observations
48
ANOVA
df
Regression
Residual
Total
1
46
47
SS
MS
F
16032.14 16032.1447 67.2690015
10963.13 238.328864
26995.27
Coefficients
Intercept
86.15851 4.527095 19.0317421
X Variable 1 -1.31922 0.160846 -8.2017682
P-value
1.9328E-23
1.4936E-10
RESIDUAL OUTPUT
1 84.83929 -9.439286 NA
89.1001148
2 83.52006 -0.620061 -9.4392857 0.38447538
3
4
5
6
7
8
82.20084
80.88161
79.56239
78.24316
76.92394
75.60471
71.64704
70.32781
69.00859
67.68936
61.09324
59.77401
58.45479
57.13556
55.81634
19.09916 -0.6200608 364.778071

30.51839 19.099164 931.372071
31.83761 30.518389 1013.63366
31.85684 31.837614 1014.85819
23.17606 31.856839 537.129935
10.99529 23.176064 120.896375
4.314514
4.433739
-13.04704
-18.02781
-20.50859
-15.78936
-1.193237
-5.374012
-9.754787
-11.33556
-24.51634
10.995289
4.3145137
4.4337386
-13.047036
-18.027812
-20.508587
-15.789362
-4.8701368
-2.4509119
2.3683131
2.787538
-1.1932371
-5.3740122
-9.7547872
-11.335562
18.6150283
19.658038
170.225161
325.001989
420.602125
249.303943
23.7182322
6.00696892
5.6089068
7.77036807
1.42381473
28.8800067
95.155874
128.494973
601.050799
Dec 2010
26.6
48
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
54.49711
53.17789
51.85866
50.53944
49.22021
47.90099
46.58176
45.26254
43.94331
42.62409
41.30486
39.98564
38.66641
37.34719
36.02796
34.70874
33.38951
32.07029
30.75106
29.43184
28.11261
26.79339
25.47416
24.15494
22.83571
-28.39711
-30.47789
-27.25866
-19.53944
-14.22021
-8.400988
2.618237
4.037462
-0.543313
2.975912
-1.904863
-4.785638
-8.566413
-5.647188
-0.827964
12.69126
18.81049
12.42971
14.74894
11.26816
10.98739
12.40661
10.52584
8.845061
3.764286
0.210008
-24.516337
-28.397112
-30.477888
-27.258663
-19.539438
-14.220213
-8.4009878
2.6182371
4.037462
-0.5433131
2.9759119
-1.9048632
-4.7856383
-8.5664134
-5.6471884
-0.8279635
12.691261
18.810486
12.429711
14.748936
11.268161
10.987386
12.406611
10.525836
8.8450608
=
806.395996
928.901629
743.034688
381.789625
202.214451
70.5765967
6.85516542
16.3010995
0.29518909
8.85605136
3.62850389
22.9023339
73.3834381
31.8907374
0.6855236
161.068116
353.834396
154.497722
217.531118
126.971454
120.722652
153.923995
110.793221
78.2351004
14.1698469
10963.1278
DW =
Significance F
1.49E-10
Lower 95%Upper 95%Lower 95.0%Upper 95.0%

77.04594 95.27108 77.0459405 95.27108
-1.64299 -0.99546 -1.6429919 -0.99546
(Difference)^2
SUMMARY OUTPUT
77.77873
388.8478
130.3987
1.740354
0.00037
75.35586
148.3713
Multiple R
0.894664
R Square
0.800424
Adjusted R Square
0.795989
Observations
47
44.63276
0.014215
ANOVA
305.5775
24.80812
6.154245
22.27108
df
Regression
Residual
Total
SS
MS
1 8702.315 8702.315
45 2169.817 48.21816
46 10872.13
F
Significance F
180.478 2.35E-17
119.2295
5.852649
23.22493
0.17575
15.84657
17.47888
19.19119
2.49885
173.7328
Intercept
X Variable 1
Coefficients
0.27224 1.01289 0.268775 0.789331 -1.76783 2.312305
0.891532 0.066363 13.43421 2.35E-17 0.757871 1.025194
RESIDUAL OUTPUT
15.06042
4.329625
10.36341
59.58643
28.29415
33.86338
121.4233
2.014199
20.9835
12.38494
23.82197
8.298865
14.29426
8.521874
23.22493
182.7694
37.44491
40.71429
5.378804
12.1158
0.078835
2.014199
3.537315
2.825005
25.81428
2302.34
0.210008
Observation Predicted Y
1 -8.14319
2 -0.28056
3 17.29976
4 27.48036
5 28.65649
6 28.67363
7 20.93444
8 10.07489
9 4.118767
10 4.22506
11 -11.3596
12 -15.8001
13 -18.0118
14 -13.8045
15 -4.06964
16 -1.91283
17 2.383667
18 2.757419
19 -0.79157
20 -4.51886
21 -8.42447
22 -9.83378
23 -21.5849
24 -25.0447
25 -26.8998
26 -24.0297
27 -17.1478
28 -12.4055
29 -7.21751
30 2.606482
31 3.871767
32 -0.21214
33 2.925361
34 -1.42601
35 -3.99431
36 -7.36499
37 -4.76241
38 -0.46592
39 11.58691
40 17.04239
41 11.35373
42 13.42139
43 10.31817
44 10.06785
45 11.33313
46 9.65636
47 8.157895
48 4.07E-14
Residuals
7.523126
19.37973
13.21863
4.357251
3.200344
-5.49757
-9.93916
-5.76038
0.314971
-17.2721
-6.6682
-4.70845
2.222462
8.934346
1.618732
4.28114
0.403871
-3.95066
-4.58244
-5.23592
-2.9111
-14.6826
-6.81225
-5.43319
-0.35889
4.490295
2.927583
4.004549
9.835748
1.43098
-4.41508
3.188053
-4.83022
-3.35963
-4.5721
1.717804
3.934447
13.15718
7.22358
-4.61268
3.39521
-2.15323
0.669219
2.338764
-0.8073
-0.8113
-4.39361
3.764286
Lower 95.0%
Upper 95.0%
-1.76783 2.312305
0.757871 1.025194
VIX Contracts and Serial Correlation

%Date
Close
%http://finance.yahoo.com/q/hp?s=^VIX&a=00&b=2&c=2006&d=08&e=28&f=2009&g=d
1 31 2006 12.95
1
SUMMARY OUTPUT
2 28 2006 12.34
2
3 31 2006 11.39
3
4 28 2006 11.59
4
Multiple R 0.750395
5 31 2006 16.44
5
R Square 0.563093
6 30 2006 13.08
6
Adjusted R Square
0.55269
7 31 2006 14.95
7
8 31 2006 12.31
8
Observations
44
9 29 2006 11.98
9
10 31 2006
11.1
10
ANOVA
11 30 2006 10.91
11
df
SS
MS
F
Significance F
12 29 2006 11.56
12
Regression
1 3684.826 3684.826 54.1302
4.5E-09
1 31 2007 10.42
13
Residual
42 2859.083 68.07339
2 28 2007 15.42
14
Total
43 6543.909
3 30 2007 14.64
15
4 30 2007 14.22
16
Coefficients
P-value Lower 95%
5 31 2007 13.05
17
Intercept
6.950307 2.530685 2.746413 0.008834 1.843177
6 29 2007 16.23
18
X Variable 1 0.720663 0.097952 7.357323
4.5E-09 0.522988
7 31 2007 23.52
19
8 31 2007 23.38
20
9 28 2007
18
21
10 31 2007 18.53
22
RESIDUAL OUTPUT
11 30 2007 22.87
23
12 31 2007
22.5
24
ObservationPredicted Y Residuals Lag Res. Squ.Res. (Difference)^2
1 31 2008
26.2
25
1 7.67097 5.27903 NA
27.86816 NA
2 29 2008 26.54
26
2 8.391633 3.948367 5.27903 15.5896 1.770664
3 31 2008 25.61
27
3 9.112296 2.277704 3.948367 5.187936 2.791115
4 30 2008 20.79
28
4 9.832959 1.757041 2.277704 3.087193 0.27109
5 30 2008 17.83
29
5 10.55362 5.886378 1.757041 34.64944 17.05142
6 30 2008 23.95
30
6 11.27429 1.805715 5.886378 3.260605 16.65181
7 31 2008 22.94
31
7 11.99495 2.955051 1.805715 8.732329 1.320975
8 29 2008 20.65
32
8 12.71561 -0.40561 2.955051 0.164521 11.29406
9 30 2008 39.39
33
9 13.43627 -1.45627 -0.40561 2.120736 1.103893
10 31 2008 59.89
34
10 14.15694 -3.05694 -1.45627 9.34487 2.562122
11 28 2008 55.28
35
11 14.8776
-3.9676 -3.05694 15.74186 0.829307
12 31 2008
40
36
12 15.59826 -4.03826
-3.9676 16.30758 0.004993
1 29 2009 42.63
37
13 16.31893 -5.89893 -4.03826 34.79734 3.462067
2 27 2009 46.35
38
14 17.03959 -1.61959 -5.89893 2.623074 18.31272
3 31 2009 44.14
39
15 17.76025 -3.12025 -1.61959 9.735983 2.25199
4 30 2009
36.5
40
16 18.48092 -4.26092 -3.12025 18.15541 1.301112
5 29 2009 28.92
41
17 19.20158 -6.15158 -4.26092 37.84194 3.574607
6 30 2009 26.35
42
18 19.92224 -3.69224 -6.15158 13.63266 6.048338
7 31 2009 25.92
43
19 20.64291 2.877094 -3.69224 8.277668 43.15619
31 2009
26.01
44
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
21.36357
22.08423
22.8049
23.52556
24.24622
24.96689
25.68755
26.40821
27.12887
27.84954
28.5702
29.29086
30.01153
30.73219
31.45285
32.17352
32.89418
33.61484
34.33551
35.05617
35.77683
36.4975
37.21816
37.93882
44 38.65948
2.877094
2.016431
-4.08423
-4.2749
-0.65556
-1.74622
1.233115
0.852452
-0.79821
-6.33887
-10.0195
-4.6202
-6.35086
-9.36153
8.65781
28.43715
23.10648
7.10582
9.015157
12.01449
9.083831
0.723168
-7.5775
-10.8682
-12.6495 -12.0188
2.016431
-4.08423
-4.2749
-0.65556
-1.74622
1.233115
0.852452
-0.79821
-6.33887
-10.0195
-4.6202
-6.35086
-9.36153
8.65781
28.43715
23.10648
7.10582
9.015157
12.01449
9.083831
0.723168
-7.5775
-10.8682
-12.0188
0.509319
4.065992
16.68096
18.27473
0.429757
3.049291
1.520572
0.726674
0.637141
40.18133
100.3911
21.34626
40.33347
87.63819
74.95767
808.6713
533.9096
50.49268
81.27306
144.3481
82.51598
0.522972
57.41844
118.1169
144.4521
0.740741
37.21809
0.036352
13.0996
1.189546
8.876448
0.144904
2.724689
30.69895
13.54728
29.15284
2.995195
9.064093
324.6965
391.2222
28.41597
256.0212
3.645567
8.996022
8.588786
69.90069
68.90101
10.82846
1.324026
160.0095 0.397736
2859.083 1456.185
DW =
0.509319
SUMMARY OUTPUT
Multiple R 0.738055
R Square 0.544725
Adjusted R Square
0.53362
Standard Error
5.606371
Observations
43
ANOVA
Significance F
df
Regression
Residual
Total

Upper 95.0%
12.05744 1.843177 12.05744
0.918338 0.522988 0.918338
SS
MS
F
Significance F
1 1541.879 1541.879 49.05537 1.63E-08
41 1288.687 31.4314
42 2830.566
Coefficients
P-value Lower 95%
Intercept
-0.34526 0.855554 -0.40356 0.688636 -2.07309
X Variable 1 0.756341 0.107988 7.003954 1.63E-08 0.538255
RESIDUAL OUTPUT
(Difference)^2
1 3.647481 0.300886
2 2.641046 -0.36334
3 1.377456 0.379585
4 0.983657 4.90272
5 4.106842 -2.30113
6 1.020471 1.93458
7 1.889761 -2.29537
8 -0.65204 -0.80423
9
-1.4467 -1.61023
10 -2.65735 -1.31025
11 -3.34612 -0.69214
12 -3.39957 -2.49936
13 -4.80686 3.187271
14 -1.57023 -1.55003
15 -2.70524 -1.55568
16 -3.56797 -2.58361
17 -4.99795 1.30571
18 -3.13786 6.014951
19 1.830799 0.185632
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
1.179844
-3.43433
-3.57854
-0.84109
-1.666
0.587391
0.29948
-0.94898
-5.13961
-7.92345
-3.83971
-5.14868
-7.42577
6.202989
21.1629
17.13111
5.029156
6.473265
8.741785
6.525206
0.201697
-6.07643
-8.56529
-9.43559
-5.26408
-0.84056
2.922982
-0.90513
2.899117
0.265061
-1.09769
-5.38989
-4.87993
3.303246
-2.51115
-4.21285
16.08358
22.23416
1.94358
-10.0253
3.986001
5.541229
0.342046
-5.80204
-7.77919
-4.79173
-3.45353
-3.2139
Significance F

Upper 95.0%
1.382562 -2.07309 1.382562
0.974426 0.538255 0.974426
Month
1 2006
2 2006
3 2006
4 2006
5 2006
6 2006
7 2006
8 2006
9 2006
10 2006
11 2006
12 2006
1 2007
2 2007
Pt
12.95
12.34
11.39
11.59
16.44
13.08
14.95
12.31
11.98
11.1
10.91
11.56
10.42
15.42
t
1
2
3
4
5
6
7
8
9
10
11
12
13
14
Month
4 2007
5 2007
6 2007
7 2007
8 2007
9 2007
10 2007
11 2007
12 2007
1 2008
2 2008
3 2008
4 2008
5 2008
Pt
14.22
13.05
16.23
23.52
23.38
18
18.53
22.87
22.5
26.2
26.54
25.61
20.79
17.83
t
16
17
18
19
20
21
22
23
24
25
26
27
28
29
Month
7 2008
8 2008
9 2008
10 2008
11 2008
12 2008
1 2009
1 2009
2 2009
3 2009
4 2009
5 2009
6 2009
7 2009
3 2007 14.64 15
6 2008 23.95 30
8 2009
Pt
22.94
20.65
39.39
59.89
55.28
40
42.63
44.84
46.35
44.14
36.5
28.92
26.35
25.92
t
31
32
33
34
35
36
37
38
39
40
41
42
43
44
26.01 45
Exponential Weighted Moving Average

w=
0.5
12
14
17
13
14
19
22
17
12
13
15
14
14
16.5
19.25
18.125
11
18
14.5625 16.28125
16
22 Data
16.14063 19.07031 Exponential Weighted Moving Average
AR(1) Process Simulation

b0 =
0.01
b1 =
0.01
xt = b 0 + b 1xt-1 + e t.

AR(1) Process
0.01
0.9172
-0.771 -1.4731 1.05745
0.19415
-0.584 0.143629
-1.8968 -1.3941 0.62891
1.0809
1.10952
-1.6124
0.9273
-0.751 -1.4706 1.05275
0.21468
-0.572 0.147909 -1.88532 -1.4029 0.62489
1.0972
1.13049
-1.5911
AR(1) Process
4
3
2
S(t)
1
0
-1
-2
-3
-4
1
20
39
58
77
96
115
134
153
172
191
t
Notice that as b1 gets closer to 0, the process becomes more mean reverting. As b1 increases from 1 or decreases from -1, the process explodes.
0.636946
0.93183
0.40835 -0.8086
0.76346 -0.3283 0.32997 -1.2351 -0.48279 -0.78465 -0.14891
0.631035
0.94814
0.42783 -0.7943
0.76552 -0.3107 0.33686 -1.2217 -0.48501
ocess explodes.
-0.7795
-0.1467
0.2956 -0.30274 -0.9292 0.37461 1.62791

0.30413
-0.2897 -0.9221 0.37539 1.64167
2.2749 0.646232
2.3014 0.679245
0.9772 1.41226 1.71953
0.60465
0.1304 -0.96691 -0.30857
-0.0512
-2.6141
-0.65074
0.0418 1.99696 1.36902 1.00089 1.43227 1.74385
0.025 1.98654 1.33905
0.63209
0.1467 -0.95544 -0.30812
-0.0443
-2.6046
-0.66679 0.962492
0.95916
0.4426 -0.17022 1.56157
-0.5618
0.4622
-0.5361
-0.1556 1.57001
-0.795 1.30322 -0.4278 -0.73125551 -0.20562739 -0.27582776
3.47171183
1.20587318
1.14957751
0.77941178
0.59779352
0.53932235
0.08774384
0.34415407
-0.7903 1.30532 -0.4047 -0.72530294 -0.20288042 -0.26785656
3.47903326
1.25066351
1.17208414
0.80113262
0.61580485
0.5554804
0.10329864
0.35518706
-0.5260538
0.4233699
0.32781009
1.29355594
0.08724272
0.03254179 -0.39508729
0.22756021
0.30088802 -0.59091927
1.40595317
1.67168447
0.81947962
-0.51250193
0.42824489
0.34209253
1.30697686
0.11031249
0.04364492 -0.38465084
0.2337137
0.31322516 -0.57778701
1.4101753
1.69578622
0.84643748
0.69094026
1.09172841 -1.08117838 -0.09581166
0.47951593 -0.05335207 -0.12678707 -0.20781522 -0.27264851 -1.09182088 -0.26573143
1.48174051
1.02066228
0.70940464
1.10882246 -1.06009016 -0.09641256
0.48855181 -0.03846655 -0.11717173 -0.19898694 -0.26463838 -1.08446727 -0.26657611
1.48907475
1.04555303
0.15389916 -1.64028761 -0.78500878
1.50146212 -0.43595956 -1.06676052 -1.03090507
0.43127633
-1.0082073
1.09423906 -1.24298285
2.58209064 -0.59800196
0.17435469 -1.62854406 -0.79129422
1.50354918 -0.41092407 -1.06086976 -1.03151377
0.43096119 -0.99389769
1.09430009 -1.22203985
2.57987024 -0.56220325
-2.59796001 -2.90183843 -1.29660179
-0.4499158 -0.03755143 -1.41194286 -0.67436324 -0.99817427
0.00989582
1.20714291 -0.35126925 -1.27542202
0.34858094
-2.59358205 -2.91777425 -1.31577953 -0.45307359 -0.03208217 -1.40226368 -0.67838588 -0.99495813
0.00994623
1.21724237 -0.32909682 -1.26871299
0.34589381
1.30224164
0.89846 -0.72348634 -0.74793397
0.39397141 -0.43452618
0.67299402
0.86696698 -0.48609911
0.44687104
0.62281749 -0.16895039
0.07486018
1.31570058
0.921617 -0.70427017 -0.74497668
0.39652164 -0.42056096
0.67878841
0.88375486 -0.46726156
0.45219842
0.63733947
0.08333441
-0.152577
1.51357997
-1.4413019
0.58622982
0.12961949 -1.24663502
0.86209182
1.54476725
0.46034293 -0.53931523
1.28177942
0.03339403
0.35283489
0.60119631
1.52441331 -1.41605777
0.58206924
0.14544019 -1.23518062
0.85974001
1.56336465
0.48597658 -0.52445546
1.28653486
0.05625938
0.36339748
0.61483029
0.09183559 -2.23957626
0.1079839 -2.22849642
1.23597744 -0.26878871 -1.13237368
0.29021544
0.70200907 -0.85403518
1.22369247 -0.24655179
0.28896705
0.71489874
-1.1248392
-0.8368862
1.0035205
-0.3660815 -0.30633278 -0.55678747
1.00515164 -0.34602998 -0.29979308
-0.5497854
0.1120559
0.11655804
-0.00650904
1.20286566
0.23258066 -0.59133318 -1.80786713 -1.62054321
0.48083572 -0.93279893 -1.47361554 -1.51137549 -1.09261533
0.22169428
1.63114817
0.00465654
1.21291223
0.25470978 -0.57878609
0.47454992 -0.91805343 -1.47279608 -1.51610345 -1.09777636
0.22071651
1.64335534
-1.803655 -1.62857976
-0.91774902 -0.93154361
1.18090609 -0.46822503
0.75187117
-0.5627502 -1.08621706 -0.19775269
-1.0370348 -0.73140625
1.21102695 -1.73084926
0.60618315
-0.89131546 -0.93045676
1.18160153 -0.44640901
0.75740708 -0.54517613 -1.08166882 -0.19856938
-1.0290205 -0.73169645
1.21370999 -1.70871216
0.59909603
-0.82072112
0.22250001
0.2329666 -0.07150096 -0.35042228
0.98189112
0.25911139 -0.53354518 -0.40909478 -0.80810455
-0.80473015
0.22445271
0.24521113 -0.05904885 -0.34101277
0.98848099
0.2789962 -0.52075521 -0.40430233 -0.80214758
0.01863444
-1.4826664
0.88943444
0.02061296 -1.47246027
0.88470984
1.14818267 -1.07444352
1.43959441
1.16702977 -1.05277322
1.43906668 -0.63680183
-0.6611925 -0.02879118 -0.45441104 -0.85469604

-0.0251592 -0.44466263 -0.84914266
0.89837456
0.07320538
0.83115896
0.63620866 -1.22624074 -0.56728339
0.89988313
0.09220421
0.842081
0.65462947 -1.20969445 -0.56938034
CPWN Weekly Stock Prices, 2010 and AR(1) Forecasting

Week
Closing Closing
Ending
Price t Price t-1 t
1/4/2010
0.98 NA
1
1/11/2010
1.35
0.98 2
1/19/2010
1.24
1.35 3
1/25/2010
1.2
1.24 4
2/1/2010
1.16
1.2 5
2/8/2010
1.24
1.16 6
2/16/2010
1.38
1.24 7
2/22/2010
1.29
1.38 8
3/1/2010
1.97
1.29 9
3/8/2010
2.3
1.97 10
3/15/2010
1.82
2.3 11
3/22/2010
2.34
1.82 12
3/29/2010
2.16
2.34 13
4/5/2010
3.54
2.16 14
4/12/2010
4.55
3.54 15
4/19/2010
5.47
4.55 16
4/26/2010
5.43
5.47 17
5/3/2010
4.8
5.43 18
5/10/2010
5.45
4.8 19
5/17/2010
4.8
5.45 20
5/24/2010
4.65
4.8 21
6/1/2010
5.28
4.65 22
6/7/2010
4.86
5.28 23
6/14/2010
4.77
4.86 24
6/21/2010
3.83
4.77 25
6/28/2010
3.37
3.83 26
7/6/2010
3.22
3.37 27
7/12/2010
3.2
3.22 28
7/19/2010
3.51
3.2 29
7/26/2010
3.43
3.51 30
8/2/2010
3.36
3.43 31
8/9/2010
3.17
3.36 32
8/16/2010
3.09
3.17 33
8/23/2010
3.52
3.09 34
8/30/2010
3.8
3.52 35
9/7/2010
3.78
3.8 36
9/13/2010
4
3.78 37
9/20/2010
4.07
4 38
9/27/2010
4.16
4.07 39
10/4/2010
5.14
4.16 40
10/11/2010
5.21
5.14 41
10/18/2010
5.25
5.21 42
10/25/2010
5.16
5.25 43
SUMMARY OUTPUT
Multiple R 0.967047
R Square 0.935179
Adjusted R Square
0.933856
Standard Error
0.652077
Observations
51
ANOVA
df
Regression
Residual
Total
SS
MS
F
1
300.59
300.59 706.9306
49 20.83502 0.425204
50 321.425
Coefficients
P-value
Intercept
0.193612 0.183188 1.056903 0.295739
X Variable 1 0.994669 0.03741 26.58817 9.03E-31
RESIDUAL OUTPUT
ObservationPredicted YResiduals
1 1.168388 0.181612
2 1.536415 -0.29641
3 1.427001
-0.227
4 1.387215 -0.22721
5 1.347428 -0.10743
6 1.427001
-0.047
7 1.566255 -0.27626
8 1.476735 0.493265
9 2.15311 0.14689
10 2.48135 -0.66135
11 2.003909 0.336091
12 2.521137 -0.36114
13 2.342097 1.197903
14 3.714739 0.835261
15 4.719355 0.750645
16 5.63445 -0.20445
17 5.594663 -0.79466
18 4.968022 0.481978
19 5.614557 -0.81456
11/1/2010
5.55
11/8/2010
5.28
11/15/2010
7.24
11/22/2010
7.83
11/29/2010
9.18
12/6/2010
10.3
12/13/2010
11.05
12/20/2010
11.77
12/27/2010
9.7
Date
Adj Close
5.16
5.55
5.28
7.24
7.83
9.18
10.3
11.05
11.77
44
45
46
47
48
49
50
51
52
T
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
4.968022
4.818822
5.445463
5.027702
4.938182
4.003193
3.545646
3.396445
3.376552
3.684899
3.605326
3.535699
3.346712
3.267139
3.694846
3.973353
3.95346
4.172287
4.241914
4.331434
5.306209
5.375836
5.415623
5.326103
5.714024
5.445463
7.395014
7.981868
9.324671
10.4387
11.1847
-0.31802
0.461178
-0.58546
-0.2577
-1.10818
-0.63319
-0.32565
-0.19645
0.133448
-0.2549
-0.24533
-0.3657
-0.25671
0.252861
0.105154
-0.19335
0.04654
-0.10229
-0.08191
0.808566
-0.09621
-0.12584
-0.25562
0.223897
-0.43402
1.794537
0.434986
1.198132
0.975329
0.6113
0.585298
51 11.90086
-2.20086
CPWN Weekly Stock Returns, 2010 and AR(1) Forecas
Significance F
9.03E-31

Upper 95.0%
-0.17452 0.561743 -0.17452 0.561743
0.91949 1.069847 0.91949 1.069847
Week
Ending
1/4/2010
1/11/2010
1/19/2010
1/25/2010
2/1/2010
2/8/2010
2/16/2010
2/22/2010
3/1/2010
3/8/2010
3/15/2010
3/22/2010
3/29/2010
4/5/2010
4/12/2010
4/19/2010
4/26/2010
5/3/2010
5/10/2010
5/17/2010
5/24/2010
6/1/2010
6/7/2010
6/14/2010
6/21/2010
6/28/2010
7/6/2010
7/12/2010
7/19/2010
7/26/2010
8/2/2010
8/9/2010
8/16/2010
8/23/2010
8/30/2010
9/7/2010
9/13/2010
9/20/2010
9/27/2010
10/4/2010
10/11/2010
10/18/2010
10/25/2010
Return t
NA
0.377551
-0.08148
-0.03226
-0.03333
0.068966
0.112903
-0.06522
0.527132
0.167513
-0.2087
0.285714
-0.07692
0.638889
0.285311
0.202198
-0.00731
-0.11602
0.135417
-0.11927
-0.03125
0.135484
-0.07955
-0.01852
-0.19706
-0.1201
-0.04451
-0.00621
0.096875
-0.02279
-0.02041
-0.05655
-0.02524
0.139159
0.079545
-0.00526
0.058201
0.0175
0.022113
0.235577
0.013619
0.007678
-0.01714
Return t-1
NA
NA
0.377551
-0.081481
-0.032258
-0.033333
0.068966
0.112903
-0.065217
0.527132
0.167513
-0.208696
0.285714
-0.076923
0.638889
0.285311
0.202198
-0.007313
-0.116022
0.135417
-0.119266
-0.03125
0.135484
-0.079545
-0.018519
-0.197065
-0.120104
-0.04451
-0.006211
0.096875
-0.022792
-0.020408
-0.056548
-0.025237
0.139159
0.079545
-0.005263
0.058201
0.0175
0.022113
0.235577
0.013619
0.007678
t
1 SUMMARY OUTPUT
2
3 Regression Statistics
4 Multiple R
5 R Square
6 Adjusted R Square
7 Standard Error
8 Observations
9
10 ANOVA
11
12 Regression
13 Residual
14 Total
15
16
Coefficients
17 Intercept
18 X Variable 1
19
20
21
22 RESIDUAL OUTPUT
23
24Observation
25
1
26
2
27
3
28
4
29
5
30
6
31
7
32
8
33
9
34
10
35
11
36
12
37
13
38
14
39
15
40
16
41
17
42
18
43
19
11/1/2010
11/8/2010
11/15/2010
11/22/2010
11/29/2010
12/6/2010
12/13/2010
12/20/2010
12/27/2010
Date
0.075581
-0.04865
0.371212
0.081492
0.172414
0.122004
0.072816
0.065158
-0.17587
-0.017143
0.075581
-0.048649
0.371212
0.081492
0.172414
0.122004
0.072816
0.065158
44
45
46
47
48
49
50
51
52
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
010 and AR(1) Forecasting

SUMMARY OUTPUT
0.007797
6.08E-05
-0.02077
0.166446
50
df
SS
MS
F
Significance F
1 8.09E-05 8.09E-05 0.002918 0.957141
48 1.329809 0.027704
49 1.32989
Coefficients
Upper 95.0%
0.052097 0.025161 2.07055 0.043802 0.001508 0.102686 0.001508 0.102686
-0.00766 0.141779 -0.05402 0.957141 -0.29272 0.277406 -0.29272 0.277406
RESIDUAL OUTPUT
0.049205 -0.13069
0.052721 -0.08498
0.052344 -0.08568
0.052352 0.016613
0.051569 0.061334
0.051232 -0.11645
0.052597 0.474535
0.04806 0.119453
0.050814 -0.25951
0.053695 0.232019
0.049909 -0.12683
0.052686 0.586203
0.047204 0.238107
0.049912 0.152286
0.050548 -0.05786
0.052153 -0.16818
0.052986 0.082431
0.05106 -0.17033
0.05301 -0.08426
0.052336
0.051059
0.052706
0.052239
0.053606
0.053017
0.052438
0.052145
0.051355
0.052272
0.052253
0.05253
0.05229
0.051031
0.051488
0.052137
0.051651
0.051963
0.051928
0.050293
0.051993
0.052038
0.052228
0.051518
0.05247
0.049254
0.051473
0.050776
0.051163
0.051539
0.051598
0.083148
-0.1306
-0.07122
-0.2493
-0.17371
-0.09753
-0.05865
0.04473
-0.07415
-0.07268
-0.1088
-0.07777
0.086868
0.028514
-0.05675
0.006064
-0.03415
-0.02985
0.183649
-0.03667
-0.04432
-0.06918
0.023353
-0.10017
0.318743
0.032238
0.120941
0.071228
0.021653
0.013619
-0.22747

b0 =
b1 =
0.99
xt = b 0 + b 1xt-1 + e t.

AR(1) Process
-0.1487
-1.052
0.5833 0.37367 -0.43346 0.7878 0.968145
0.24272 -0.3954 0.14467
0.3626
0.06223
-0.1487
-1.199
-0.604 -0.2243
1.33732 0.92852
1.4159
1.46395
-0.6555 0.1389 1.105657
1.0639
0
-0.1487
-1.0521
0.58332
0.37367
-0.4335
0.78784
0.96815
0.24272
-0.3954
0.14467
0.36261
0.06223
0.61992
-0.2016
0.13912
0.01431
1.16295
-0.5477
-0.0892
-1.3178
-1.7719
0.12683
2.203
-1.2081
0
-0.1487
-1.1993
-0.604
-0.2243
-0.6555
0.1389
1.10566
1.33732
0.92852
1.0639
1.41587
1.46395
2.06922
1.84694
1.96759
1.96222
3.10555
2.52675
2.41228
1.07033
-0.7122
-0.5783
1.63049
0.40606
S(t)
AR(1) Process
9
8
7
6
5
4
3
2
1
0
-1
-2
21
41
t
Notice that as b1 gets closer to 0, the process becomes more mean reverting.
3.59351
-0.4123
0.57516
-0.8504
1.44305
-0.803
-2.2595
0.59267
-0.4657
1.43934
-0.5137
0.16731
1.33693
1.08291
1.28611
-0.2266
-0.4487
-0.4155
3.99551
3.54323
4.08296
3.19174
4.60287
3.75379
1.45673
2.03484
1.54875
2.97261
2.42921
2.57223
3.88344
4.92752
6.16435
5.87606
5.36861
4.89941
0.61992 -0.20159
0.13912
0.01431
1.1629 -0.54774 -0.0892
2.06922 1.846938
1.96759
1.96222
3.1055
-1.3178 -1.7719 0.126825
2.203 -1.20813
2.52675 2.41228 1.07033 -0.7122 -0.57829
1.63049 0.406058
ecomes more mean reverting. As b1 increases from 1 or decreases from -1, the process explodes.
3.59351 -0.41232
3.99551
3.54323
0.5752
-0.8504 1.44305
-0.803
4.083 3.19174 4.60287
3.7538
-2.25952
0.5927 -0.4657 1.43934
-0.5137 0.16731 1.33693
1.08291
1.2861 -0.22665 -0.44868
1.456735
2.0348 1.54875 2.97261 2.42921 2.57223 3.88344
4.92752
6.1643
5.87606
-0.4155
1.6809 0.455074 -1.51844
5.36861 4.89941 6.53132 6.921077 5.333426
0.5854 -0.27961
5.8655
0.2179
5.5272 5.68982
0.61044 0.73786 0.67651 -0.9652
1.39762161 -0.23489853
6.24336 6.91879 7.52611 6.48564
7.81840643
7.50532383
0.10288241
7.533153

b0 =
5 "True Value"
b1 =
0.5 "True Value"
xt = b 0 + b 1xt-1 + e t.
et
xt
0
-1.125
0.57887
0.64055
1.4211
0.63031
1.45323
0.25498
-1.136
1.69815
1.02491
-2.0807
-0.3196
1.3585
-0.1496
-0.0457
-0.5811
0.25748
0.61932
-1.9653
-0.0054
-0.152
-2.0746
-0.5366
-0.0818
0.17078
-0.9348
-1.488
5
6.37505
8.7664
10.0237
11.433
11.3468
12.1266
11.3183
9.52318
11.4597
11.7548
8.79665
9.07871
10.8979
10.2993
10.104
9.47089
9.99292
10.6158
8.34264
9.16589
9.43094
7.64085
8.28378
9.06008
9.70082
8.91561
7.96977
xt-1
6.375047
8.766398
10.02375
11.43297
11.3468
12.12663
11.31829
9.523177
11.45974
11.75478
8.796648
9.078712
10.89785
10.29934
10.10401
9.470887
9.992924
10.61579
8.342635
9.165895
9.430936
7.640853
8.283785
9.060076
9.700821
8.915608
rt
t
0
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
SUMMARY OUTPUT
Multiple R
0.493
R Square
0.243
Standard Error
1.061
Observations
41
Regression of xt on xt-1
ANOVA
df
SS
MS
FSignificance F
1 14.08 14.08 12.521 0.001
39 43.86 1.125
40 57.95
Regression
Residual
Total
Intercept
X Variable 1
Coefficients
Standard Error
t Stat P-value
Lower 95%
Upper 95%
Lower 95.0%
Upper 95.0%
5.481 1.257
4.36 9E-05 2.938 8.0235 2.9384 8.024
0.449 0.127 3.539 0.0011 0.192 0.7059 0.1924 0.706
RESIDUAL OUTPUT
Observation Predicted
Residuals
Y
1 8.344 0.422
2 9.418 0.606
N/A
0.275
0.3751
0.1434
0.1406
-0.008
0.0687
-0.067
-0.159
0.2034
0.0257
-0.252
0.0321
0.2004
-0.055
-0.019
-0.063
0.0551
0.0623
-0.214
0.0987
0.0289
-0.19
0.0841
0.0937
0.0707
-0.081
-0.106
-0.222
0.12245
-0.0003
1.39268
-0.8308
-1.2396
-0.0883
1.48977
0.08896
2.0048
0.40331
-0.7233
-1.7759
0.5216
-0.4548
8.76293
9.50391
9.75168
11.2685
9.80343
8.66211
9.24278
11.1112
10.6445
12.3271
11.5669
10.0601
8.25419
9.64869
9.36955
7.969766
8.762926
9.503913
9.751676
11.26852
9.803429
8.662114
9.242777
11.11115
10.64454
12.32707
11.56685
10.0601
8.254187
9.648694
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
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
31
32
33
34
35
36
37
38
39
9.983
10.62
10.58
10.93
10.56
9.758
10.63
10.76
9.432
9.559
10.38
10.11
10.02
9.735
9.969
10.25
9.228
9.598
9.717
8.913
9.201
9.55
9.838
9.485
9.06
9.417
9.749
9.861
10.54
9.884
9.371
9.632
10.47
10.26
11.02
10.68
9.999
1.45
0.731
1.549
0.391
-1.04
1.702
1.127
-1.96
-0.35
1.339
-0.08
-0
-0.55
0.258
0.647
-1.91
-0.06
-0.17
-2.08
-0.63
-0.14
0.151
-0.92
-1.52
-0.3
0.087
0.002
1.408
-0.74
-1.22
-0.13
1.479
0.173
2.065
0.549
-0.62
-1.75
0.0995
0.0846
0.0261
0.1555
-0.13
-0.116
0.067
0.2021
-0.042
0.1581
-0.062
-0.13
-0.18
0.1689
-0.029
40 9.188
41 9.815
xt
t
0
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
5
6.37505
8.7664
10.0237
11.433
11.3468
12.1266
11.3183
9.52318
11.4597
11.7548
8.79665
9.07871
10.8979
10.2993
10.104
9.47089
9.99292
10.6158
8.34264
9.16589
xt-1
6.375047
8.766398
10.02375
11.43297
11.3468
12.12663
11.31829
9.523177
11.45974
11.75478
8.796648
9.078712
10.89785
10.29934
10.10401
9.470887
9.992924
10.61579
8.342635
t
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
0.46
-0.44
xt
xt-1
7.641
8.284
9.06
9.701
8.916
7.97
8.763
9.504
9.752
11.27
9.803
8.662
9.243
11.11
10.64
12.33
11.57
10.06
8.254
9.649
9.37
9.431
7.641
8.284
9.06
9.701
8.916
7.97
8.763
9.504
9.752
11.27
9.803
8.662
9.243
11.11
10.64
12.33
11.57
10.06
8.254
9.649
21 9.43094
9.165895
rt-1
0.275
0.3751
0.1434
0.1406
-0.008
0.0687
-0.067
-0.159
0.2034
0.0257
-0.252
0.0321
0.2004
-0.055
-0.019
-0.063
0.0551
0.0623
-0.214
0.0987
0.0289
-0.19
0.0841
0.0937
0.0707
-0.081
t
0
1
2 SUMMARY OUTPUT
3
Regression
4
Statistics
5 Multiple 0
R.0786
6 R Square
0.0062
7 Adjusted-0.019
R Square
8 Standard0.1355
Error
9 Observations41
10
11 ANOVA
12
df
SS
MS
F Significance F
13 Regression 1 0.004 0.004 0.242 0.6254
14 Residual
39 0.716 0.018
15 Total
40 0.721
16
17
Coefficients
Standard Error
t Stat P-value
Lower 95%
Upper 95%
Lower 95.0%
Upper 95.0%
18 Intercept0.0162 0.022 0.754 0.456 -0.027 0.0598 -0.027 0.0598
19 X Variable
0.0754
1
0.153 0.492 0.625 -0.235 0.3853 -0.235 0.3853
20
21
22
23 RESIDUAL OUTPUT
24
25
Observation
PredictedResiduals
Y
26
1 0.037 0.338
27
2 0.0445 0.099
-0.106
0.0995
0.0846
0.0261
0.1555
-0.13
-0.116
0.067
0.2021
-0.042
0.1581
-0.062
-0.13
-0.18
0.1689
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
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
31
32
33
34
35
36
37
38
39
0.027
0.0268
0.0157
0.0214
0.0112
0.0043
0.0316
0.0182
-0.003
0.0186
0.0313
0.0121
0.0148
0.0115
0.0204
0.0209
8E-05
0.0237
0.0184
0.0019
0.0226
0.0233
0.0216
0.0101
0.0082
0.0237
0.0226
0.0182
0.028
0.0064
0.0074
0.0213
0.0315
0.0131
0.0281
0.0116
0.0064
0.114
-0.034
0.053
-0.088
-0.17
0.199
-0.006
-0.27
0.035
0.182
-0.086
-0.031
-0.077
0.044
0.042
-0.235
0.099
0.005
-0.208
0.082
0.071
0.047
-0.102
-0.116
0.091
0.061
0.003
0.137
-0.158
-0.123
0.06
0.181
-0.073
0.145
-0.09
-0.142
-0.186
40 0.0027 0.166
41 0.029 -0.058
Sample Price Data, Returns and Regression Results

SUMMARY OUTPUT
PRICEt
TIME
0
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
30
30.125
30.25
30.125
32
34
31
32
30.5
30.75
30.875
31
30.875
31
31.125
30.25
33
30
35.125
33
32.125
32.25
32.375
32.125
32.25
34.25
36.375
38.5
34.375
33.875
33.625
ERRORt2
RETURNt RETURNt-1 ERRORt

N.A.
0.00417
0.00415
-0.00413
0.06224
0.0625
-0.08824
0.03226
-0.04688
0.0082
0.00407
0.00405
-0.00403
0.00405
0.00403
-0.02811
0.09091
-0.09091
0.17083
-0.0605
-0.02652
0.00389
0.00388
-0.00772
0.00389
0.06202
0.06204
0.05842
-0.10714
-0.01455
-0.00738
0.022478 0.003066
VARP
0.00417
0.00415
-0.00413
0.06224
0.0625
-0.08824
0.03226
-0.04688
0.0082
0.00407
0.00405
-0.00403
0.00405
0.00403
-0.02811
0.09091
-0.09091
0.17083
-0.0605
-0.02652
0.00389
0.00388
-0.00772
0.00389
0.06202
0.06204
0.05842
-0.10714
-0.01455
ERRORt-12 ERRORt-22
0.00189
0.01018
0.05261
0.08157
0.06905
0.01375
0.04077
0.01992
0.00023
0.00204
0.01013
0.00554
0.00206
0.03421
0.07091
0.05944
0.12367
0.00554
0.06052
0.01542
0.00229
0.01389
0.00729
0.05585
0.08102
0.07741
0.08972
0.06873
0.02151
0.0000035
0.000104
0.002768
0.006654
0.004768
0.000189
0.001662
0.000397
0
0.000004
0.000103
0.000031
0.000004
0.001171
0.005028
0.003533
0.015295
0.000031
0.003663
0.000238
0.000005
0.000193
0.000053
0.00312
0.006564
0.005992
0.00805
0.004723
0.000463
0.000004
0.000104
0.002768
0.006654
0.004768
0.000189
0.001662
0.000397
0
0.000004
0.000103
0.000031
0.000004
0.001171
0.005028
0.003533
0.015295
0.000031
0.003663
0.000238
0.000005
0.000193
0.000053
0.00312
0.006564
0.005992
0.00805
0.004723
0.000004
0.000104
0.002768
0.006654
0.004768
0.000189
0.001662
0.000397
0
0.000004
0.000103
0.000031
0.000004
0.001171
0.005028
0.003533
0.015295
0.000031
0.003663
0.000238
0.000005
0.000193
0.000053
0.00312
0.006564
0.005992
0.00805
0.001861
0.002352
0.003493
0.003813
0.002679
0.002169
0.002193
0.001909
0.001842
0.001861
0.001864
0.001848
0.002051
0.002934
0.003318
0.00516
0.004427
0.002499
0.002502
0.001883
0.001877
0.001884
0.002406
0.003536
0.004015
0.004285
0.00404
4
4
3
5
5
2
4
3
4
4
4
3
4
4
3
5
2
7
2
3
4
4
3
4
5
5
5
1
3
3
1
2
1
1
2
1
3
2
4
5
6
3
7
8
4
3
2
1
3
4
9
10
5
11
4
5
6
1
6
7
7
Multiple R
R Square
Adjusted R Square
Standard Error
Observations
ANOVA
Regression
Residual
Total
Coefficients
Intercept
X Variable 1
RESIDUAL OUTPUT
Observation
1
2
3
4
5
6
7
8
9
10
11
0.095154 0.003172
VARS
-.15 to -.10
-.1 to -.05
-.05 to 0
0 to .05
.05 to .10
11
.10 to .15
12
10
8
6
Series1
4
2
0
-.15 to - -.1 to - -.05 to 0 0 to .05
.10
.05
1
.05 to
.10
.10 to
.15
.15 to
.20
.15 to .20
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
SUMMARY OUTPUT
0.432081
0.186694
0.156572
0.052637
29
df
SS
1 0.017172
27 0.074808
28 0.091981
RETURNt
on RETURNt-1
MS
F
Significance F
0.017172229 6.197839 0.019247
0.00277068
Coefficients
Standard Error
t Stat
Upper 95.0%
0.007844 0.009825 0.798369488 0.431623 -0.01232 0.028005 -0.01232 0.028005
-0.43247 0.173714 -2.489546024 0.019247
-0.7889 -0.07604
-0.7889 -0.07604
RESIDUAL OUTPUT
0.006041 -0.00189
0.00605 -0.01018
0.00963 0.05261
-0.01907 0.081573
-0.01919 -0.06905
0.046006 -0.01375
-0.00611 -0.04077
0.028119 -0.01992
0.004298 -0.00023
0.006084 -0.00203
0.006093 -0.01012
Squared
Residuals
3.57571E-06
0.000103624
0.002767764
0.006654086
0.00476859
0.000188939
0.001662427
0.000396749
5.20296E-08
4.13798E-06
0.000102472
3.58E-06
0.000104
0.002768
0.006654
0.004769
0.000189
0.001662
0.000397
5.2E-08
4.14E-06
3.58E-06
0.000104
0.002768
0.006654
0.004769
0.000189
0.001662
0.000397
5.2E-08
SUMMARY OUTPUT
Multiple R 0.276006
R Square 0.076179
Adjusted R Square
-0.00081
Standard Error
0.003583
Observations
27
Two Lag Periods
0.009587
0.006093
0.006102
0.020001
-0.03147
0.04716
-0.06603
0.034009
0.019313
0.006162
0.006166
0.011183
0.006162
-0.01898
-0.01899
-0.01742
0.054179
0.014137
-0.00554
-0.00206
-0.03421
0.070909
-0.05944
0.12367
0.005535
-0.06053
-0.01542
-0.00228
-0.01389
-0.00729
0.055858
0.081017
0.077406
-0.08972
-0.06873
-0.02152
3.06607E-05
4.25535E-06
0.001170427
0.005028074
0.003532935
0.015294217
3.06308E-05
0.003663735
0.000237883
5.20773E-06
0.000192831
5.31882E-05
0.003120111
0.006563826
0.005991703
0.00804958
0.004723703
0.000462972
0.000102
3.07E-05
4.26E-06
0.00117
0.005028
0.003533
0.015294
3.06E-05
0.003664
0.000238
5.21E-06
0.000193
5.32E-05
0.00312
0.006564
0.005992
0.00805
0.004724
4.14E-06
0.000102
3.07E-05
4.26E-06
0.00117
0.005028
0.003533
0.015294
3.06E-05
0.003664
0.000238
5.21E-06
0.000193
5.32E-05
0.00312
0.006564
0.005992
0.00805
ANOVA
df
Regression
Residual
Total
SS
2 2.54E-05
24 0.000308
26 0.000334
MS
1.27E-05
1.28E-05
F
Significance F
0.98953 0.386415
Coefficients
Intercept
0.001842 0.000953 1.932465 0.065188 -0.00013 0.003809
X Variable 1 0.177997 0.202383 0.879504 0.38785
-0.2397 0.595695
X Variable 2 0.168676 0.201527 0.836987 0.410857 -0.24726 0.584608
RESIDUAL OUTPUT
1 0.001861 0.000907
2 0.002352 0.004302
3 0.003493 0.001276
4 0.003813 -0.00362
5 0.00268 -0.00102
6 0.002169 -0.00177
7 0.002193 -0.00219
8 0.001909
-0.0019
9 0.001842 -0.00174
10 0.001861 -0.00183
11 0.001864 -0.00186
12 0.001848 -0.00068
13 0.002051 0.002977
14 0.002934 0.000599
15 0.003319 0.011976
16 0.00516 -0.00513
17 0.004427 -0.00076
18 0.002499 -0.00226
19 0.002502
-0.0025
20 0.001883 -0.00169
21 0.001877 -0.00182
22
23
24
25
26
27
0.001884
0.002406
0.003536
0.004015
0.004285
0.00404
0.001236
0.004158
0.002455
0.004034
0.000439
-0.00358
Lower 95.0%
Upper 95.0%
-0.00013 0.003809
-0.2397 0.595695
-0.24726 0.584608
Linear Probability Model

Defense
Dummy
Firm
1
2
3
4
5
6
7
8
9
10
x1,i
1
1
1
1
1
0
0
0
0
0
x2,i
1,000
1200
1400
1500
1600
1800
1100
1000
900
700
x3,i
48
63
55
49
44
62
60
58
66
74
x4,i
0.18
0.03
0.16
0.07
0.14
0.02
0
0.11
0.05
0
Linear Probability Model Results

0.2
0.35
0.1
0.3
0.2
0.03
0
0.02
0.04
0.05
SUMMARY OUTPUT
Multiple R 0.960671
R Square 0.922889
Adjusted R Square
0.8612
Standard Error
0.196356
Observations
10
ANOVA
df
Regression
Residual
Total
SS
4 2.307222
5 0.192778
9
2.5
Coefficients
Standard Error
Intercept
-0.55993 1.220861
X Variable 1 0.000196 0.000249
X Variable 2 0.002589 0.015221
X Variable 3 3.661388 1.674945
X Variable 4 3.041962 0.595926
RESIDUAL OUTPUT
ObservationPredicted YResiduals
1 1.027972 -0.02797
2 1.013129 -0.01313
3 0.747146 0.252854
4 1.030099
-0.0301
5 0.988875 0.011125
6 0.118212 -0.11821
7 -0.18878 0.188785
8 0.250011 -0.25001
9 0.092258 -0.09226
10 -0.07892 0.078918
Model Results
MS
F
Significance F
0.576805 14.96032 0.005461
0.038556
t Stat
-0.45863
0.789187
0.170088
2.185976
5.104598

Upper 95.0%
0.665745 -3.69825 2.578397 -3.69825 2.578397
0.46576 -0.00044 0.000835 -0.00044 0.000835
0.871609 -0.03654 0.041715 -0.03654 0.041715
0.080504 -0.64419 7.966971 -0.64419 7.966971
0.003756 1.510086 4.573838 1.510086 4.573838
0.038556 0.014622
Mean and variance
-0.03856 0.029857
Mean and variance
Using the Offset Function to Invert Matrices of Varying Sizes

3 First, enter dimension of the square matrix (between 2 and 6)
TRUE
OK
Then, enter elements of matrix.
3
12
33
5
44
22
66 Enter
1
15
23
7
7
3
33 Cell Values
2
3
3
6
55
1 On Left for
12
15
18
33
3
22 Matrix to Invert.
2
7
3
9
33
33
7
3
6
33
2
4
Do not enter values into yellow regions. They can be protected.
-0.10619 0.185841 -0.25664
#N/A
#N/A
#N/A
0.068584 -0.05752 0.019912
#N/A
#N/A
#N/A
0.002212 -0.06637 0.484513
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
Inverse Matrix
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
#N/A
Let A1 = n, the number of rows and columns of the matrix to invert.
A1 must be between 2 and 6 in this example.
Input matrix elements in grey Cells A3:F8.
Inputs beyond the nth row and nth column will not affect results.
Inverse matrix will also be n x n in Range A10:F15.
Ignore cells beyond the nth row and nth column.
Instructions for revising this file.
To increase the potential matrix sizes, move all ranges far enough apart from each other so as to
prevent interference. Adjust Cell H2 accordingly.
Set an n x n range for the largest matrix to invert in the new file. Make sure that this and all other
ranges are not conflicting with one another.
Highlight an n x n range into which the inverse matrix will be placed just as though you were going
through the standard MINVERSE routine. Now begin the MINVERSE routine, selecting the paste
function, Math&Trig and MINVERSE. Instead of entering the range as normal, enter the
following instead: OFFSET(A3:B4,0,0,H2,H2). Then simultaneously hit Ctrl-Shft-Enter. Actually,
be certain to replace A101:B102 with the two upper/left most cells in the matrix to invert and
make appropriate adjustments for Cell H2.

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6400 Lecture Spreadsheets

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The worksheets presented here are arranged by topics covered in lectures.

Computing Geometric Mean Return on Investment: Real Price Data

GM Stock: October, 2000 to September 2002, Monthly Returns

PCS Stock: October, 2000 to September 2002, Monthly Returns

7444519 0.348947 1.348947

ee http://webpage.pace.edu/jteall/spreadsheets.htm for information).

The product of (1+r(t)) for 24 months

The product of (1+r(t)) for 24 months

Expected Return, Variance and Standard Deviation

P(i) R(i)P(i) R(i)-E[R(i)] (R(i)-E[R(i)])^2 (R(i)-E[R(i)])^2*P(i)

Historical Variances for Stocks A and B

Computing Variances and Standard Deviations of Returns: Real Price Data

GM Stock: October, 2000 to September 2002, Monthly Returns

The product of (1+r(t)) for 24 months

PCS Stock: October, 2000 to September 2002, Monthly Returns

25.18 -0.17443 0.825574

mpute variances and standard deviations in Column G.

uct of (1+r(t)) for 24 months

uct of (1+r(t)) for 24 months

P(i) (R(A,i)-E[R(A)]) (R(B,i)-E[R(B)]) Product of Deviations and Probability

Computing Variances and Standard Deviations of Returns

GM Stock: October, 2000 to September 2002, Monthly Returns

The product of (1+r(t)) for 24 months

PCS Stock: October, 2000 to September 2002, Monthly Returns

25.18 -0.17443 0.825574

mpute variances and standard deviations in Column G.

uct of (1+r(t)) for 24 months

uct of (1+r(t)) for 24 months

Computing Return Covariances: Real Price Data

GM And PCS Stock: October 2000 to September 2002, Monthly Returns

compute covariances and Corelation Coefficients in Column G.

Yield to Maturity Example

ufficiently close to the bond's correct yield.

2X2 Matrix Inversion: Gauss-Jordan Elimination

onal and zeros elsewhere):

n the first row of the first column:

Matrix Inversion: Gauss-Jordan Elimination

onal and zeros elsewhere):

n the first row of the first column:

Inverting Matrices and Solving Systems of Linear Equations

245.5 54.55 -72.73

Let V represent a 3X3 matrix that we wish to invert

V-1 is the inverse

Portfolio Variance Matrices: w'Vw = s2p

These are the weights and

Next, multiply w'V by w

0.04 Portfolio Variance

Standard deviation is the square root of variance

0.199 Portfolio Standard Deviation

Holmes and Market Risk Premiums:

Year Holmes Co.

Summary Output: Excel Functions

2H,M = 0.99206 0.99206

SUMMARY OUTPUT: Excel Spreadsheet Regression

0.002886751 5.196152 0.013847

0.064549722 19.36492 0.000301

Upper 95%Lower 95.0%

0.005813069 0.024187 0.005813 0.024187

Lower 95.0% Upper 95.0%

Jensen's Alpha Illustration: Simple OLS

0.170477693 0.170477693 115.4593

Upper 95%Lower 95.0%

0.055352198 0.091666 0.055352 0.091666