Problem 16.30 GE.xls Auto regression out of 100out of 4Your grade0page 677
page 275The data in the table represent the January 1 stock price for the 23-year period fro 1987 to 2009for General Electric, one of the world’s largest companies.Year GE Stock Price19872.2519882.3619892.4819903.6819913.3819924.6519935.3519946.7419956.7619969.80199713.75199820.77199929.99200044.98200142.27200235.90200322.37200429.25200535.29200634.79200745.23200820.34200922.34
a. Fit a third-order auto regressive model to the GE stock price and test for the significance of the third-order auto regressive parameter. ( Use alpha=0.05).
b. If necessary, fit a second-order auto regressive model to the GE stock price and test for the significance of the second-order auto regressive parameter. ( Use alpha=0.05).
c. If necessary, fit a first-order auto regressive model to the GE stock price and test for the significance of the first-order auto regressive parameter. ( Use alpha=0.05). Plot the predicted values by this model.d. Forecast the GE stock price for years 2010 and 2011 using the most appropriate auto regressive model among a b and c.