Fa midterm assignment group1 ver 2.0 group niraj
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Data Given Year CPI WPI Year CPI WPI 1960 29.8 31.7 1980 86.3 93.8 1961 30.0 31.6 1981 94.0 98.8 1962 30.4 31.6 1982 97.6 100.5 1963 30.9 31.6 1983 101.3 102.3 1964 31.2 31.7 1984 105.3 103.5 1965 31.8 32.8 1985 109.3 103.6 1966 32.9 33.3 1986 110.5 99.70 1967 33.9 33.7 1987 115.4 104.2 1968 35.5 34.6 1988 120.5 109.0 1969 37.7 36.3 1989 126.1 113.0 1970 39.8 37.1 1990 133.8 118.7 1971 41.1 38.6 1991 137.9 115.9 1972 42.5 41.1 1992 141.9 117.6 1973 46.2 47.4 1993 145.8 118.6 1974 51.9 57.3 1994 149.7 121.9 1975 55.5 59.7 1995 153.5 125.7 1976 58.2 62.5 1996 158.6 128.8 1977 62.1 66.2 1997 161.3 126.7 1978 67.7 72.7 1998 163.9 122.7 1979 76.7 83.4 1999 168.3 128.0
Transcript of Fa midterm assignment group1 ver 2.0 group niraj
Data Given
Year CPI WPI Year CPI WPI
1960 29.8 31.7 1980 86.3 93.8
1961 30.0 31.6 1981 94.0 98.8
1962 30.4 31.6 1982 97.6 100.5
1963 30.9 31.6 1983 101.3 102.3
1964 31.2 31.7 1984 105.3 103.5
1965 31.8 32.8 1985 109.3 103.6
1966 32.9 33.3 1986 110.5 99.70
1967 33.9 33.7 1987 115.4 104.2
1968 35.5 34.6 1988 120.5 109.0
1969 37.7 36.3 1989 126.1 113.0
1970 39.8 37.1 1990 133.8 118.7
1971 41.1 38.6 1991 137.9 115.9
1972 42.5 41.1 1992 141.9 117.6
1973 46.2 47.4 1993 145.8 118.6
1974 51.9 57.3 1994 149.7 121.9
1975 55.5 59.7 1995 153.5 125.7
1976 58.2 62.5 1996 158.6 128.8
1977 62.1 66.2 1997 161.3 126.7
1978 67.7 72.7 1998 163.9 122.7
1979 76.7 83.4 1999 168.3 128.0
Regression on the given data
The SAS System
The REG Procedure
Model: MODEL1 Dependent Variable: CPI CPI
Number of Observations Read 40
Number of Observations Used 40
Analysis of Variance
Source DF Sum of
Squares
Mean
Square
F Value Pr > F
Model 1 86235 86235 882.01 <.0001
Error 38 3715.30916 97.77129
Corrected Total 39 89951
Root MSE 9.88794 R-Square 0.9587
Dependent Mean 86.17000 Adj R-Sq 0.9576
CoeffVar 11.47492
Parameter Estimates
Variable Label DF Parameter
Estimate
Standard
Error
t Value Pr > |t| Variance
Inflation
Intercept Intercept 1 -13.77536 3.71075 -3.71 0.0007 0
WPI WPI 1 1.26999 0.04276 29.70 <.0001 1.00000
The SAS System
The REG Procedure
Model: MODEL1 Dependent Variable: CPI CPI
***From the above we see that the data has auto correlation. To Remove the
Auto correlation we use the method of first difference
New Data Set:
First Difference method
Year CPI WPI CPID WPID Year CPI WPI CPID WPID
1960 29.8 31.7 1980 86.3 93.8 -9.6 -10.4
1961 30 31.6 -0.2 0.1 1981 94 98.8 -7.7 -5
1962 30.4 31.6 -0.4 0 1982 97.6 100.5 -3.6 -1.7
1963 30.9 31.6 -0.5 0 1983 101.3 102.3 -3.7 -1.8
1964 31.2 31.7 -0.3 -0.1 1984 105.3 103.5 -4 -1.2
1965 31.8 32.8 -0.6 -1.1 1985 109.3 103.6 -4 -0.1
1966 32.9 33.3 -1.1 -0.5 1986 110.5 99.7 -1.2 3.9
1967 33.9 33.7 -1 -0.4 1987 115.4 104.2 -4.9 -4.5
1968 35.5 34.6 -1.6 -0.9 1988 120.5 109 -5.1 -4.8
1969 37.7 36.3 -2.2 -1.7 1989 126.1 113 -5.6 -4
1970 39.8 37.1 -2.1 -0.8 1990 133.8 118.7 -7.7 -5.7
1971 41.1 38.6 -1.3 -1.5 1991 137.9 115.9 -4.1 2.8
1972 42.5 41.1 -1.4 -2.5 1992 141.9 117.6 -4 -1.7
1973 46.2 47.4 -3.7 -6.3 1993 145.8 118.6 -3.9 -1
1974 51.9 57.3 -5.7 -9.9 1994 149.7 121.9 -3.9 -3.3
1975 55.5 59.7 -3.6 -2.4 1995 153.5 125.7 -3.8 -3.8
1976 58.2 62.5 -2.7 -2.8 1996 158.6 128.8 -5.1 -3.1
1977 62.1 66.2 -3.9 -3.7 1997 161.3 126.7 -2.7 2.1
1978 67.7 72.7 -5.6 -6.5 1998 163.9 122.7 -2.6 4
1979 76.7 83.4 -9 -10.7 1999 168.3 128 -4.4 -5.3
Plotting the Data to check volatility:
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CPI
WPI
*** WPI is More Volatile observed from the graph contradicting to normal notion. May be because
CPI in US is managed
Running the linear regression on the new Data Set after removing the Auto –Correlation
The SAS System
The REG Procedure
Model: MODEL1 Dependent Variable: CPID CPID
Number of Observations Read 38
Number of Observations Used 38
Analysis of Variance
Source DF Sum of
Squares
Mean
Square
F Value Pr > F
Model 1 73.11367 73.11367 20.99 <.0001
Error 36 125.37712 3.48270
Corrected Total 37 198.49079
Root MSE 1.86620 R-Square 0.3683
Dependent Mean -3.63947 Adj R-Sq 0.3508
CoeffVar -51.27661
Parameter Estimates
Variable Label DF Parameter
Estimate
Standard
Error
t Value Pr > |t| Variance
Inflation
Intercept Intercept 1 -2.65555 0.37117 -7.15 <.0001 0
WPID WPID 1 0.41087 0.08967 4.58 <.0001 1.00000
The SAS System
The REG Procedure
Model: MODEL1 Dependent Variable: CPID CPID
Residual Plot is Decent
Residuals are random in plot
R-Square can be improved by removing the outliers seen in graph 3
Quantile graph seem to be good.
Conclusion:
Our interpretation is that WPI does feed in CPI but always there would be a lag.
Thus because of this R-square value is comparatively low. Hence, we believe a
time series analysis will be a apt technique to analyse the given data set.
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