Please read the requirements carefully, and solve the following problems.
This assignment is due by June 16 , 2011 at 11:59pm. No late submission is
Under Session 3 there is a dataset named “stockprices.xls,” which contains historical
time-series of daily closing stock price of GE (column D in the spreadsheet). Assume you
are interested in studying the behaviors of this (GE) TS, please do the following to carry
out a routine analysis. (For all hypothesis tests, please use significance level of a = 0.05).
1). Obtain a time-series plot of the data (only TS plot of GE stock prices), and discuss
what kind(s) of pattern you can identify from the plot.
2). Using Minitab, obtain the ACF function (plot) of GE stock prices.
3). Using Bartlett test we discussed in the class, conduct test to see whether there exist
significant autocorrelation at lag 1, lag 2, and lag 6. In so doing, list your null and
alternative hypotheses and show your test statistics which lead you to the conclusion.
You must provide corresponding outputs from Minitab, from which you obtain estimates
of autocorrelation coefficients at different lags.
4). Discuss whether GE stock price time-series is a stationary time series, is it a white
noise time series? (Check whether the definition conditions are violated.)
5). Check (using Portmanteau ? test) whether you can use a random walk model to
represent the characteristics of GE stock price TS.
* Please submit assignment solutions, in MS Word format, through the
* Please use relevant statistics to support your conclusions, arguments and any statistical
* Show your steps in solving the problems, provide relevant Minitab outputs, partial
credit will be deducted if you don’t follow the requirements.