MULTIPLE REGRESSION
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homework5_-_example.docxQSO 510 Winter 2012
QSO 510 Winter 2012 Homework #5 Page 2
Question #2:
Find weekly historical price data from January 1, 2000 to the present for at least three stocks, commodities or index funds and use them in a multiple regression model to predict the Dow Jones Industrial Average. The document “Getting Stock Price Data” in the Generally Useful Files section of the Course Documents explains how to get this information from Yahoo! Finance. Kudos for getting the best or worst correlation in the class.
Data Period: January 1, 2000 through February 11, 2013
Final Equation: Dow Jones = 4,412.51 + 128.92*JPM + 22.99*WMT + 15.03*XOM
*All P-values are significant*
JPM = JP Morgan
WMT = Wal-Mart
XOM = Exxon Mobil
SUMMARY OUTPUT
Regression Statistics
Multiple R 0.811735869
R Square 0.65891512
Adjusted R Square 0.657410334
Standard Error 882.7840499
Observations 684
ANOVA
dfSSMSFSignificance F
Regression 31023728690341242896.7437.87955132.5215E-158
Residual 680529929221.5779307.6787
Total 6831553657912
CoefficientsStandard Errort StatP-valueLower 95%Upper 95%Lower 95.0%Upper 95.0%
Intercept 4612.513807268.119054917.203230152.45847E-554086.0731195138.9544964086.0731195138.954496
JP Morgan ADJ Close 128.92149886.61033106319.503032081.27282E-67115.9423868141.9006107115.9423868141.9006107
Wal-Mart ADJ Close 22.987828835.2953598964.3411268131.6332E-0512.5906084233.3850492412.5906084233.38504924
Exxon Mobil ADJ Close 15.031940432.6485666395.6755001772.04789E-089.83158924420.232291629.83158924420.23229162
