STAT 3014/3914. Semester 2 Applied Statistics Solution to Tutorial 12

Similar documents
MgtOp 215 Chapter 13 Dr. Ahn

Using Conditional Heteroskedastic

Linear Combinations of Random Variables and Sampling (100 points)

The Integration of the Israel Labour Force Survey with the National Insurance File

Elements of Economic Analysis II Lecture VI: Industry Supply

Sampling Distributions of OLS Estimators of β 0 and β 1. Monte Carlo Simulations

Tree-based and GA tools for optimal sampling design

Elton, Gruber, Brown and Goetzmann. Modern Portfolio Theory and Investment Analysis, 7th Edition. Solutions to Text Problems: Chapter 4

Tests for Two Correlations

Analysis of Variance and Design of Experiments-II

iii) pay F P 0,T = S 0 e δt when stock has dividend yield δ.

Supplementary material for Non-conjugate Variational Message Passing for Multinomial and Binary Regression

Which of the following provides the most reasonable approximation to the least squares regression line? (a) y=50+10x (b) Y=50+x (d) Y=1+50x

Chapter 3 Descriptive Statistics: Numerical Measures Part B

Measures of Spread IQR and Deviation. For exam X, calculate the mean, median and mode. For exam Y, calculate the mean, median and mode.

Spatial Variations in Covariates on Marriage and Marital Fertility: Geographically Weighted Regression Analyses in Japan

2) In the medium-run/long-run, a decrease in the budget deficit will produce:

Data Mining Linear and Logistic Regression

3: Central Limit Theorem, Systematic Errors

Chapter 11: Optimal Portfolio Choice and the Capital Asset Pricing Model

Survey of Math Test #3 Practice Questions Page 1 of 5

Mutual Funds and Management Styles. Active Portfolio Management

Interval Estimation for a Linear Function of. Variances of Nonnormal Distributions. that Utilize the Kurtosis

A MODEL OF COMPETITION AMONG TELECOMMUNICATION SERVICE PROVIDERS BASED ON REPEATED GAME

Is Social Welfare Increased By Private Firm Entry. Introduction

ECONOMETRICS - FINAL EXAM, 3rd YEAR (GECO & GADE)

Teaching Note on Factor Model with a View --- A tutorial. This version: May 15, Prepared by Zhi Da *

- contrast so-called first-best outcome of Lindahl equilibrium with case of private provision through voluntary contributions of households

Price and Quantity Competition Revisited. Abstract

3/3/2014. CDS M Phil Econometrics. Vijayamohanan Pillai N. Truncated standard normal distribution for a = 0.5, 0, and 0.5. CDS Mphil Econometrics

>1 indicates country i has a comparative advantage in production of j; the greater the index, the stronger the advantage. RCA 1 ij

An Application of Alternative Weighting Matrix Collapsing Approaches for Improving Sample Estimates

II. Random Variables. Variable Types. Variables Map Outcomes to Numbers

Money, Banking, and Financial Markets (Econ 353) Midterm Examination I June 27, Name Univ. Id #

Risk and Return: The Security Markets Line

Finance 402: Problem Set 1 Solutions

A Simulation Study to Compare Weighting Methods for Nonresponses in the National Survey of Recent College Graduates

Chapter 5 Student Lecture Notes 5-1

Investment Management Active Portfolio Management

Solutions to Odd-Numbered End-of-Chapter Exercises: Chapter 12

Consumption Based Asset Pricing

Tests for Two Ordered Categorical Variables

Fall 2017 Social Sciences 7418 University of Wisconsin-Madison Problem Set 3 Answers

ECO 209Y MACROECONOMIC THEORY AND POLICY LECTURE 8: THE OPEN ECONOMY WITH FIXED EXCHANGE RATES

Macroeconomic Theory and Policy

Principles of Finance

Final Exam. 7. (10 points) Please state whether each of the following statements is true or false. No explanation needed.

Applications of Myerson s Lemma

Evaluating Performance

Clearing Notice SIX x-clear Ltd

A Comparison of Statistical Methods in Interrupted Time Series Analysis to Estimate an Intervention Effect

Mode is the value which occurs most frequency. The mode may not exist, and even if it does, it may not be unique.

Calibration Methods: Regression & Correlation. Calibration Methods: Regression & Correlation

Answers to exercises in Macroeconomics by Nils Gottfries 2013

Quiz 2 Answers PART I

Uncertainties in the Swedish PPI and SPPI

THE MARKET PORTFOLIO MAY BE MEAN-VARIANCE EFFICIENT AFTER ALL

Spurious Seasonal Patterns and Excess Smoothness in the BLS Local Area Unemployment Statistics

Quiz on Deterministic part of course October 22, 2002

CHAPTER 9 FUNCTIONAL FORMS OF REGRESSION MODELS

/ Computational Genomics. Normalization

Topic 6 Introduction to Portfolio Theory

Chapter 15: Debt and Taxes

Chapter 11: Optimal Portfolio Choice and the Capital Asset Pricing Model

IMPACT OF STOCK CONTROL ON PROFIT MAXIMIZATION OF MANUFACTURING COMPANY. Keywords: Stock, Profit Maximization, Manufacturing Company, Nigeria.

Problem Set 6 Finance 1,

A Bootstrap Confidence Limit for Process Capability Indices

Merton-model Approach to Valuing Correlation Products

Risk, return and stock performance measures

4: SPOT MARKET MODELS

Economic Design of Short-Run CSP-1 Plan Under Linear Inspection Cost

Taxation and Externalities. - Much recent discussion of policy towards externalities, e.g., global warming debate/kyoto

Economics 1410 Fall Section 7 Notes 1. Define the tax in a flexible way using T (z), where z is the income reported by the agent.

ISyE 512 Chapter 9. CUSUM and EWMA Control Charts. Instructor: Prof. Kaibo Liu. Department of Industrial and Systems Engineering UW-Madison

1 Omitted Variable Bias: Part I. 2 Omitted Variable Bias: Part II. The Baseline: SLR.1-4 hold, and our estimates are unbiased

Macroeconomic Theory and Policy

Elton, Gruber, Brown, and Goetzmann. Modern Portfolio Theory and Investment Analysis, 7th Edition. Solutions to Text Problems: Chapter 16

Value of L = V L = VL = VU =$48,000,000 (ii) Owning 1% of firm U provides a dollar return of.01 [EBIT(1-T C )] =.01 x 6,000,000 = $60,000.

Analysis of the Influence of Expenditure Policies of Government on Macroeconomic behavior of an Agent- Based Artificial Economic System

Stochastic ALM models - General Methodology

Measurement and Management of Exchange Rate Exposure: New Approach and Evidence

Supplementary Material for Borrowing Information across Populations in Estimating Positive and Negative Predictive Values

THE MARKET PORTFOLIO MAY BE MEAN-VARIANCE EFFICIENT AFTER ALL

Multifactor Term Structure Models

YORK UNIVERSITY Faculty of Science Department of Mathematics and Statistics MATH A Test #2 November 03, 2014

WPS4077 THE COMPOSITION OF GROWTH MATTERS FOR POVERTY ALLEVIATION * Abstract

Call & Put Butterfly Spreads Test of SET50 Index Options Market Efficiency and SET50 Index Options Contract Adjustment

Introduction. Chapter 7 - An Introduction to Portfolio Management

University of Toronto November 9, 2006 ECO 209Y MACROECONOMIC THEORY. Term Test #1 L0101 L0201 L0401 L5101 MW MW 1-2 MW 2-3 W 6-8

University of Toronto November 9, 2006 ECO 209Y MACROECONOMIC THEORY. Term Test #1 L0101 L0201 L0401 L5101 MW MW 1-2 MW 2-3 W 6-8

Incorrect Beliefs. Overconfidence. Types of Overconfidence. Outline. Overprecision 4/15/2017. Behavioral Economics Mark Dean Spring 2017

econstor Make Your Publications Visible.

Uniform Output Subsidies in Economic Unions versus Profit-shifting Export Subsidies

Estimation of Wage Equations in Australia: Allowing for Censored Observations of Labour Supply *

ECONOMIC ANALYSIS OF FISHERY IN THE NORTHERN PERSIAN GULF

The Effects of Industrial Structure Change on Economic Growth in China Based on LMDI Decomposition Approach

02_EBA2eSolutionsChapter2.pdf 02_EBA2e Case Soln Chapter2.pdf

Optimal Service-Based Procurement with Heterogeneous Suppliers

Elton, Gruber, Brown, and Goetzmann. Modern Portfolio Theory and Investment Analysis, 7th Edition. Solutions to Text Problems: Chapter 9

Corporate Finance: Capital structure and PMC. Yossi Spiegel Recanati School of Business

Transcription:

STAT 304/394 Semester Appled Statstcs 05 Soluton to Tutoral. Note that a sngle sample of n 5 customers s drawn from a populaton of N 300. We have n n + n 6 + 9 5, X X + X 4500 + 00 45700 and X X /N 4500/300 8.6667. The data are C l x y x y y /x y r x C 04 0 04 0.094-4.045 43 60 43 60.89 9.96 3 8 75 8 75 0.946 -.0363 4 56 80 56 80.0938.3990 5 75 300 75 300.0909.4637 6 98 90 98 90 0.9596-7.746 C 7 37 50 0 0.0949 0.0000 8 89 00 0 0.058 0.0000 9 9 5 0 0.0504 0.0000 0 63 60 0 0 0.954 0.0000 03 0 0 0.0680 0.0000 07 00 0 0 0.9346 0.0000 3 59 80 0 0.3 0.0000 4 63 75 0 0.905 0.0000 5 87 90 0 0.0345 0.0000 Mean 45.6667 53.6667 77. 8.048 0.0000 Var. 4454.95 5398.095 4.7 957.86 0.006 58.68 a) The total sales estmate usng the Hartley Ross estmator s Ŷ hr X r nȳ r x) + N ) n 45700.048) + 300 ) 486.35 553.6667.04845.6667) 5 b) The estmate for the rate of ncrease of sales of Brand I product and ts s.e. are y C r 8 x 77..0493 C varr ) X ) n N ) s r ser ) 0.00055 0.0349 n 8.6667 5 ) 58.68 0.00055 300 5

The rate of ncrease s 4.9%. c) The estmate for the total sales of Brand I product and ts s.e. are Ŷ r X r 4500.0493) 5705.96 sey r ) X ser ) 45000.0349) 575.5568. a) Separate rato estmate: n A n B 0; N A, 000 and N B, 500; X A 6, 300 and X B, 800; W A 000 and W 500 B 500; 500 For A: s y,a 0.36; s x,a 9.99; s xy,a 0.8; y 87; x 7.8; r A y A 8.7 x A 7.8.05. s sr,a s y,a r A s xy,a + r As x,a 0.36 8.7 7.8 0.8 + 3.477 s sr,a.86. ) 8.7 9.99 7.8 For B: s y,b 3.4; s x,b 5.45; s xy,b 0.356; y 78; x 46; r B y B 4.6 x B 7.8 0.59. s sr,b s y,b r B s xy,b + r Bs x,b 3.4 4.6 7.8 0.356 + 9.77 s sr,b 3.. ) 4.6 5.45 7.8 Y st,sr W A RA X A + W B RB X B ) ) ) ) 000 8.7 500 4.6 6.3 + 8.53 9.87. 500 7.8 500 7.8 varŷ st,sr) WA n ) A s sr,a + WB n ) B s sr,b N A n A N B n B ) 000 0 ) ).86 500 500 000 0 + 0 ) 3. 500 500 0 0.40.

b) Combne rato estmate: X X A + X B 6, 300 +, 800 N A + N B, 000 +, 500.64 X st W A x A + W B x B 0.4 7.8 + 0.6 7.8.80. Y st W A y A + W B y B 0.4 8.7 + 0.6 4.6 0.4. r c 0.4.80 0.8677966. For A: s y,a 0.36; s x,a 9.99; s xy,a 0.8; y 87; x 7.8; s cr,a s y,a r C s xy,a + r Cs x,a 0.36 0.4.80 0.8 + 5.79 s cr,a.39. ) 0.4 9.99.80 For B: s y,b 3.4; s x,b 5.45; s xy,b 0.356; y 78; x 46; s cr,b s y,b r C s xy,b + r Cs x,b 3.4 0.4.80 0.356 + 6.08 s cr,b 4.00. ) 0.4 5.45.80 Y st,cr R st,cr X 0.8677966.64 0.0. varŷ st,cr) WA n ) A s cr,a + WB n ) B s cr,b N A n A N B n B ) 000 0 ) ).39 500 500 000 0 + 0 ) 4.00 500 500 0 0.66 > 0.40 varŷ st,sr). Note that varŷ st,sr) < varŷ st,cr). Hence separate rato estmator s preferred snce. n A n B 0 s not too small and. RA.05, RB 0.59 s not smlar. c) Dscusson If the stratum sample szes n h are large enough say, 0) so that the separate rato estmator Ŷ st,sr does not have large bases and that the varance approxmaton works adequately, use the separate rato estmator. 3

If the stratum sample szes n h are very small and the stratum rato R h Y h X h constant over strata, the combned rato estmator Ŷ st,cr may perform better. s 3. We have n s 3, n 4, k 9, N 36 and total sample sze n 34). a) The sample means and varances are Samples 3 4 5 6 7 8 9 Overall 0 0 0 0 5 6 6 5 6 5 5 5 3 4 3 4 4 0 0 Mean.00.5.75.50.5.5.50.00.00.8 Var..667 4.97 7.583 5.667 3.583 6.97 3.000 4.667 4.667 3.806 The true varance of the mean estmator s the varance of these 9 sample means whch s k ) VarȲ ) ȳ k ȳ k 9 [47.475 9.8 ) 0.0673. b) The sum of squares and mean sum of squares are SST o SSW SSB n or k k n yj Nȳ 30 36.8 ) 33. j n y j ȳ ) j k n )s 3.667 + + 4.667) 3 k ȳ Nȳ 4 +.5 + + ) 36.8 ). SST o SSW 33. 3. Sw SSW kn ) 3 7 4.85 S SST o N 33. 36 3.806 < 4.85 Snce S w > S, systematc samplng s more effcent. c) Wth random starts of, 4 and 8, the selected sample means are ȳ.5,.5,. We have n s ȳ 5.35. The estmate for the average level of deldrn n ths 4

stretch of the rver and ts varance are Ȳ n s ȳ.5 +.5 + ).5 n s 3 s ȳ varȳ ) n s n N ns ) ȳ n s ȳ [5.35 3.5 ) 0.065 ) s ȳ n s ) 0.065 0.039 36 3 Extra exercse. a) Estmate and ts s.e. for the total commsson receved usng post-stratfcaton when the data s stratfed accordng to branches: Ŷ pst, l N l ȳ l 6.34 + 0 56.30 + 5 55.90 37.58 thousands [ varŷpst,) N n ) L Sl W l N n + L W n l )Sl [ 37 5 ) 89.38 + 0 833. 37 37 5 37 5 + 5 ) 799.045 37 5 + ) 5 7 89.38 + 833. + 5 37 37 37 799.045 [ 37 5 ) 7.75 + 5.06 +.5958)+ 37 553.6 + 608.008 + 475.078) 5 37 3.300589 + 7.7430505) 54, 77.93409 seŷpst,) 54, 77.93409 3.76539 b) Estmate and ts s.e. for the total commsson receved usng post-stratfcaton 5

when the data s stratfed accordng to the length of stay n the company: Ŷ pst, l N l ȳ l 7 3.8 + 64.74 + 8 89.08 0.8 thousands [ varŷpst,) N n ) L Sl W l N n + L W n l )Sl [ 37 5 ) 7 8.94 + 74.63 + 8 ) 60.989 37 37 5 37 5 37 5 + ) 0 5 9 8.94 + 74.63 + 5 37 37 37 60.989 [ 37 5 ) 3.9496 + 3.7754 + 0.879)+ 37 69.6984 + 7.988 + 47.80) 5 37 5.595835 +.04658808) 8, 436.56053 seŷpst,) 8, 436.56053 9.8505637 c) Estmator n b) s better. The auxlary varable of the length of stay n the company leads to more effcent estmator because the resultng strata s more nternally homogeneous w.r.t. the commsson receved. d) For SRS, the sample mean 57.84 6 and the sample varance707.05538. Hence Ŷ Nȳ 37 57.84 6, 40.3 6 varŷ ) N n ) s y N n 37 5 ) 707.05538 37 5 seŷ ) 38, 367.37576 95.875993. 38, 367.37576 Note that seŷpst,) < seŷ ) < seŷpst,). Only the stratfcaton usng the length of servce n the company mproves the effcency of the estmator. e) Varance reducton n poststratfcaton varŷsrs) varŷpst) N [ n N ) s y n n N N [ n N ) n s N [ n s ) L L W l Sl ) n L W l Sl ) W l S l n n L L W l )Sl W l )S l Assumng n s suffcently small so that n ) and n s suffcently large so N N 6

that n s neglgble as compared wth n. For a) For b) s L W lsl 0 707.055 89.38 + 37 37 707.055 84.854354 07.8389 s L W ls l 707.055 833. + 5 ) 37 799.045 7 8.94 + 37 37 74.63 + 8 ) 37 60.989 707.055 9.067 577.9538 Hence s n b) s much larger and leads to larger reducton of varance for the estmator. For a), s L W lsl s negatve whch mples an ncrease of varance for the estmator usng post-stratfcaton. Ths s due to the fact that post-stratfcaton does not help n reducng the sample varance n each stratum but the sample sze n each stratum s much smaller.. a) Method A: If the stratfcaton leads to more nternally homogeneous strata, the stratfed SRS wll be preferred. Snce S l wll be small f the resultng strata are nternally homogeneous and hence varŷ st) ) L W l n l s l N l n l wll be small as well. The mean estmator usng the stratfed SRS and proportonal allocaton method s the same as the mean estmator usng SRS because Ŷ st l n n ȳ ȳ. N l N ȳl Method B: If the auxlary varable X s postvely and hghly correlated to Y, the varable of nterest and the populaton mean X or total X s known for the auxlary varable, ths method s preferred. Note that s r n 00 y R 00 x y + R 00 x wll be small f X and Y are hghly correlated. b) ) For Neyman allocaton, L N l s l, 940 3. + 3, 530 6.3 +, 0 0. + 070 6.5 70, 63 ) [ N s 940 3. n nw n L N 00 3.3 3 s 70, 63 [ 3, 530 6.3 n nw 00 3.49 3 70, 63 [, 0 0. n 3 nw 3 00 30.8 30 70, 63 [ 070 6.5 n 4 nw 4 00 5.00 5 70, 63 ) Estmate of the total annual proft last year for all the tradng frms n that 7

ndustry and ts CI estmate: Ŷ st l N l ȳ l, 940)8.7) + 3, 530)5.) +, 0)0.4) +, 070)44.8) 70, 4 varŷst) L N l n l N l ) s l, 940 3, 940, 0 30, 0 69, 377, 544.89 n l ) 6.604 3 ) 5.536 30 seŷst) 69, 377, 544.89 8, 39.38393 + 3, 530 3 3, 530 +, 070 5, 070 95% CI for Y st Ŷst z 0.05 seŷst), Ŷ + z 0.05 seŷst) ) 67.6996 + 3 ) 3.576 70, 4.96 8, 39.38393, 70, 4 +.96 8, 39.38393) 53, 888.5359, 86, 539.464) c) Estmate of the total annual proft last year for all the tradng frms n that ndustry usng rato estmaton and ts s.e. estmate: R ȳ, 96.5.335 5 x 85 Ŷ r X R 7, 730.335 5 69, 835.5697 s r n y R x y + R x ) 99 8, 67.335 5 5, 707 +.335 5 8, 674) 00.036097 varŷr) N n ) s r 9, 650 00 ) 00.036097 9, 5, 984. N n 9, 650 00 seŷr) 9, 5, 984. 9, 604.8470 > seŷst) 8, 39.38393. d) Would prefer the total estmator usng stratfed SRS rather than the total estmator usng SRS and rato estmate. It s possble that the correlaton between X and Y may not be strong enough as large frm sze does not necessary lead to hgher annual proft. However the relatonshp between the frm sze and annual proft should generally be postve so that stratfcaton usng the frm sze should lead to more nternally homogeneous strata w.r.t. the annual proft. 5 3. We gnore fpc snce N s not gven. 8

a) For sample mean usng SRS Y srs,4 ȳ ȳ st 9, 333. 3 y s n ) + n ȳ 400 99 + 00, 000.44584 0 0 y s n ) + n ȳ 00 99 + 00 8, 000.8099 0 0 yj,j y + y.44584 0 0 +.8099 0 0.7783 0 0 s y n yj nȳ ) 99.7783 00 300 9, 333. 3 ),j varŷ srs,4) s y n 3, 67, 079.59 3, 67, 079.59 300 seŷ srs,4), 090.6386 09.96., 090.6386 Snce there s large varaton between the strata, the s.e. of SRS estmator s large. Post-stratfcaton estmator s not feasble as the populaton szes are unknown. b) For double samplng for stratfcaton Y st,ds L w ȳ 00 00, 000 + 8, 000 9, 333. 3 300 300 varŷ st) n w s ) + n w s ) + n [w ȳ Ŷ st,ds) + w ȳ Ŷ st,ds) 0 0. 3 400) + 0 0. 6 00) + 300 [0. 3, 000 9, 333. 3) + 0. 68, 000 9, 333. 3), 000 +, 85.8585 3, 85.859 seŷ st,ds) 3, 85.859 7.69389 4. a) ) The total nventory X n thousand dollars last year for all dealers of the juce 9

drnk company X pst NW y + W y + W 3 y 3 ) 9, 4000.3 8.5 + 0.55 7. + 0.5 7) 9, 400 6.06 3, 564 [ vary pst ) N n ) L s l W l N n + L W n l )s l [ 9, 400 970 ) 970 9, 400 0.3 6. + 0.55 5. + 0.5 55.5) + 0.7 6. + 0.45 5. + 0.85 55.5) 970 9, 400 0.06458 + 0.000074) 9, 985, 643 ) The populaton sze N for each stratum N N n 9, 400 7 n 970 N N n 9, 400 50 n 970 N 3 N n 3 9, 400 88 n 970 5, 440 0, 00 3, 760 ) Neyman allocaton for a sample of sze n 97 nto the three strata L N l s l N s + N s + N 3 s 3 5, 440 6. + 0, 00 5. + 3, 760 55.5 0, 04.857 ) N s n nw n L N s [ 5, 440 6. 97 97.6) 0.96 0, 04.857 [ 0, 00 5. n nw 97 97.507) 49.6 49 0, 04.857 [ 3, 760 55.5 n 3 nw 3 97 97.77) 6.89 7 0, 04.857 b) The total nventory Y n thousand dollars ths year for all dealers of the juce 0

drnk company L ) Ŷ st,ds N w ȳ ) 7 50 88 9, 400 9.7 + 8.3 + 970 970 970 3.5 9, 400 8.45 357, 868 [ varŷst,ds) N w s + w n n ȳ Ŷ st,ds) { ) 9, 400 7 5.3 + ) 50 8.5+ 970 49 970 ) 88 60. + [ 7 9.7 8.45) 7 970 97 970 + 50 970 8.3 8.45) + 88 } 3.5 8.45) 970 9, 400 0.308 + 0.056) 34, 737, 058.5