Project description
Use the independent Variables: interest, loans and deposits.
Dependent variable: Corporate profit (QNB)
Bloomberg database.
Login to Bloomberg and collect data on a set of key variables related to your major (five variables max). There are no restrictions on the variables you may choose (example, GDP, inflation, unemployment, public expenditure/investment, exports, imports, money supply, oil prices, sales, healthcare indicator, revenue, etc.). The only criterion is that the variables exhibit somehow a relationship. That is, k independent variables potentially related to one dependent variable. The data should be for a period of no less than 10 years. Please use the highest frequency available.
1. Provide a short description of the variables you selected and argue why you think they exhibit relationship and on which bases you specified the dependent vs. the independent variables.
2. Determine the sample regression equation (using Excel).
3. Interpret each of the coefficients.
4. Find and interpret the coefficient of determination.
5. What is the coefficient of determination, adjusted for the degrees of freedom? What does this value differ from the coefficient of determination? What does it tell you about the model?
6. Test the model’s validity in explaining the dependent variable.
7. Test to determine whether each of the independent variables is linearly related to the dependent variable in the model you choose.
8. Compute the residuals and the predicted values for the regression analysis.
9. Calculate the coefficients of correlation for each pair of independent variables. What do these statistics tell you about the independent variables and the t-test of the coefficients?
10. Determine whether the error is normally distributed.
11. Is the variance of the error variable constant? Explain.
12. Determine whether there is evidence of autocorrelation.
13. Plot the residuals vs. the time periods. Does there appear to be autocorrelation?
14. Perform the Durbin-Watson test. Is there evidence of autocorrelation? Use ?=5%.