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 made the same mistake until I read the section more carefully.

It has to do with the "conditional" part of the explanation, I believe. I got the same .49 value when I calculated Y-bar using all 9 values. Based on the equation at the top of page 155, Y-bar should be the average of the first 8 Y values only. This makes sense based on the sentence right above equation 7.2.2 on page 154 too and the basic idea that we're using the Y_t_1 observations as X and Y_t observations as Y.

Doing this results in the same estimate of .54 that the Excel regression tool returns.