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Math Help - Chi-square test.

  1. #1
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    Cool Chi-square test.

    I have an examtomorrow with this exercise, Could you give me the solution of it . you can read it in attached file question 4. Thank you

    The Dow-Jones daily returns for the period 1920-2006 under the normal likelihood show a
    raw mean of 0.00020 and standard deviation of 0.01140. Skewness is -0.6673 and kurtosis
    29.7454.
    (a) Calculate the annual mean and variance.
    (b) Calculate the Jarque-Bera statistic and perform the hypothesis test. Write down the
    null and alternative hypotheses. Run a  2 test with 2 degrees of freedom. Refer to the
    tables given for the chi-square distribution. (N = 19566)
    (c) What does the term “normally distributed returns” mean? What do your results say
    about non-normality.
    )
    4
    ( ( 3)
    6
    3
    2 
    JB  N S  K
    Tail (right)  2 Tail (right)  2
    0.5 1.38629
    0.95 0.10259 0.25 2.77259
    0.99 0.0201 0.1 4.60517
    0.975 0.05064 0.05 5.99146
    0.95 0.10259 0.025 7.37776
    0.9 0.21072 0.01 9.21034
    0.75 0.57536 0.005 10.5966
    Attached Files Attached Files
    Last edited by mr fantastic; January 16th 2012 at 03:32 PM. Reason: Re-titled.
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  2. #2
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    Re: Chi-square test.

    Quote Originally Posted by quangtuan0904 View Post
    I have an examtomorrow with this exercise, Could you give me the solution of it . you can read it in attached file question 4. Thank you

    The Dow-Jones daily returns for the period 1920-2006 under the normal likelihood show a
    raw mean of 0.00020 and standard deviation of 0.01140. Skewness is -0.6673 and kurtosis
    29.7454.
    (a) Calculate the annual mean and variance.
    (b) Calculate the Jarque-Bera statistic and perform the hypothesis test. Write down the
    null and alternative hypotheses. Run a  2 test with 2 degrees of freedom. Refer to the
    tables given for the chi-square distribution. (N = 19566)
    (c) What does the term “normally distributed returns” mean? What do your results say
    about non-normality.
    )
    4
    ( ( 3)
    6
    3
    2 
    JB  N S  K
    Tail (right)  2 Tail (right)  2
    0.5 1.38629
    0.95 0.10259 0.25 2.77259
    0.99 0.0201 0.1 4.60517
    0.975 0.05064 0.05 5.99146
    0.95 0.10259 0.025 7.37776
    0.9 0.21072 0.01 9.21034
    0.75 0.57536 0.005 10.5966
    This looks like work that counts towards your grade. MHF policy is to not knowingly help with such work. It's meant to be your own work. See rule #6: http://www.mathhelpforum.com/math-he...hp?do=vsarules.

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