A.     Estimate the parameter ö by regression analysis.

B.     What are 95% confidence intervals for the value of ö?

C.    You initially believed that ö is 50%. Should you reject this assumption?

The time series course does not teach regression analysis. You are assumed to know how to run a regression analysis, and you must run regressions for the student project.

Use the Excel regression add-in. The 95% confidence interval is the estimated â ± the t-value × the standard error of â. The t-value depends on the number of observations. Excel has a built-in function giving the t-value for a sample of N observations.

I have a question on how the standard deviation should be calculated. Using the formula on page 41, I calculate the standard deviation as s=((sum(Yt-phi)^2)/8)^.5. This however does not get me close to the standard deviation I get from my excel analysis (0.27476412), it got me to 0.653814. I don’t understand the assumption that the standard error is =((1-0.542508^2)/8)^0.5=0.297. Where does this formula come from?