Date ATT ATT.PctChg.1 Microsoft Microsoft.PctChg.1 Nordstrom Nordstrom.PctChg.

1
4/1/2010 20.12 35.18 37.34
5/3/2010 18.76 -6.76% 34.61 -1.62% 36.05 -3.45%
6/1/2010 18.67 -0.48% 33.89 -2.08% 29.23
This file and the -18.92%
free Excel add-in which produced the analy
7/1/2010 20.37 9.11% 34.66 2.27% 30.88 5.64%
8/2/2010 21.23 4.22% 32.76 The original dataset
-5.48% 26.44 consisted of five years of monthly adjus
-14.38%
corrected for dividends and stock splits in order to show rea
9/1/2010 22.46 5.79% 38.24 16.73%
Yahoo Finance. 34.01 28.63%
10/1/2010 22.73 1.20% 40.56 6.07% 35.21 3.53%
Here the percent-change-from-1-period-ago transformation
11/1/2010 22.14 -2.60% 41.93 3.38% 39.31 Standarized variable
percentage returns. 11.64%names of the form
12/1/2010 23.41 5.74% 43.47 3.67% 38.92 -0.99%
1/3/2011 22.25 -4.96% 45.72 According to 37.82
5.18% the Capital Asset Pricing Model (CAPM), the slo
-2.83%
vs. the excess return on the market is a measure of the relati
2/1/2011 22.94 3.10% 47.6 4.11%
return and the 41.57
risk free rate, but the9.92%
risk free rate has been
3/1/2011 24.75 7.89% 46.96 exercise.) Stocks
-1.34% 41.43with higher betas are relatively more risky
-0.34%
4/1/2011 25.52 3.11% 47.18 market.
0.47% 43.9 5.96%
5/2/2011 25.88 1.41% 46.87 -0.66% 43.45 -1.03%
6/1/2011 25.75 -0.50% 45.23 -3.50% 43.55 0.23%
7/1/2011 24.32 -5.55% 52.62 16.34% 46.54 6.87%
8/1/2011 23.67 -2.67% 51.86 -1.44% 42.18 -9.37%
9/1/2011 23.71 0.17% 51.38 -0.93% 42.6 1.00%
10/3/2011 24.74 4.34% 54.54 6.15% 47.27 10.96%
11/1/2011 24.46 -1.13% 51.5 -5.57% 42.45 -10.20%
12/1/2011 25.52 4.33% 54.57 5.96% 46.6 9.78%
1/3/2012 25.19 -1.29% 61.51 12.72% 46.29 -0.67%
2/1/2012 26.2 4.01% 73.09 18.83% 50.52 9.14%
3/1/2012 26.75 2.10% 80.79 10.53% 52.5 3.92%
4/2/2012 28.58 6.84% 78.69 -2.60% 52.63 0.25%
5/1/2012 29.68 3.85% 77.85 -1.07% 44.87 -14.74%
6/1/2012 30.97 4.35% 78.69 1.08% 47.07 4.90%
7/2/2012 33.35 7.68% 82.3 4.59% 51.28 8.94%
8/1/2012 32.22 -3.39% 90.03 9.39% 55.03 7.31%
9/4/2012 33.15 2.89% 90.28 0.28% 52.51 -4.58%
10/1/2012 30.77 -7.18% 80.56 -10.77% 54.02 2.88%
11/1/2012 30.36 -1.33% 79.57 -1.23% 51.73 -4.24%
12/3/2012 29.99 -1.22% 72.35 -9.07% 51.17 -1.08%
1/2/2013 31.35 4.53% 61.92 -14.42% 52.82 3.22%
2/1/2013 32.36 3.22% 60.36 -2.52% 51.86 -1.82%
3/1/2013 33.06 2.16% 60.53 0.28% 53.11 2.41%
4/1/2013 34.16 3.33% 60.55 0.03% 54.42 2.47%
5/1/2013 31.9 -6.62% 61.9 2.23% 56.85 4.47%
6/3/2013 32.28 1.19% 54.58 -11.83% 57.93 1.90%
7/1/2013 32.57 0.90% 62.29 14.13% 59.19 2.18%
8/1/2013 31.24 -4.08% 67.51 8.38% 54.15 -8.51%
9/3/2013 31.23 -0.03% 66.06 -2.15% 54.61 0.85%
10/1/2013 33.88 8.49% 72.42 9.63% 58.76 7.60%
11/1/2013 32.95 -2.74% 77.5 7.01% 60.74 3.37%
12/2/2013 32.9 -0.15% 78.19 0.89% 60.34 -0.66%
1/2/2014 31.6 -3.95% 69.76 -10.78% 56.09 -7.04%
2/3/2014 30.28 -4.18% 73.78 5.76% 60.03 7.02%
3/3/2014 33.26 9.84% 75.25 1.99% 61.3 2.12%
4/1/2014 34.3 3.13% 82.73 9.94% 60.15 -1.88%
5/1/2014 34.08 -0.64% 89.24 7.87% 67.13 11.60%
6/2/2014 33.97 -0.32% 91.71 2.77% 67.01 -0.18%
7/1/2014 34.64 1.97% 94.34 2.87% 68.29 1.91%
8/1/2014 34.02 -1.79% 101.66 7.76% 68.63 0.50%
9/2/2014 34.29 0.79% 99.92 -1.71% 67.76 -1.27%
10/1/2014 34.35 0.17% 107.11 7.20% 71.96 6.20%
11/3/2014 34.89 1.57% 118.46 10.60% 76.01 5.63%
12/1/2014 33.12 -5.07% 109.95 -7.18% 79.03 3.97%
1/2/2015 32.92 -0.60% 116.7 6.14% 75.85 -4.02%
2/2/2015 34.56 4.98% 128.46 10.08% 80.43 6.04%
3/2/2015 32.97 -4.60% 126.37 -1.63% 80.02 -0.51%
 SP_500 SP_500.PctChg.1
1186.69
1089.41 -8.20%
1030.71
in which produced -5.39%
the analysis can be downloaded from https://regressit.com.
1101.6 6.88%
of five years of1049.33
monthly adjusted closing
-4.74%prices for 3 stocks and the S&P 500 index. Adjusted closing prices are
ck splits in order to show real changes in value. Their histories can be downloaded from web sites such as
1141.2 8.76%
1183.26 3.69%
1-period-ago transformation in RegressIt has been applied to all 4 variables in order to compute monthly
1180.55
ed variable names -0.23% are assigned automatically .
of the form "X.PCtChg.1"
1257.64 6.53%
Pricing Model1286.12
(CAPM), the slope coefficient
2.26% ("beta") in a simple regression of the excess return on the stock
rket is a measure of the relative risk of the stock. ("Excess" return means the difference between the actual
ut the risk free1327.22 3.20%
rate has been so close to zero in recent years that it can be ignored for the purposes of this
etas are relatively more risky and therefore
1325.83 -0.10% should be expected to have higher expected returns in an efficient
1363.61 2.85%
1345.2 -1.35%
1320.64 -1.83%
1292.28 -2.15%
1218.89 -5.68%
1131.42 -7.18%
1253.3 10.77%
1246.96 -0.51%
1257.6 0.85%
1312.41 4.36%
1365.68 4.06%
1408.47 3.13%
1397.91 -0.75%
1310.33 -6.27%
1362.16 3.96%
1379.32 1.26%
1406.58 1.98%
1440.67 2.42%
1412.16 -1.98%
1416.18 0.28%
1426.19 0.71%
1498.11 5.04%
1514.68 1.11%
1569.19 3.60%
1597.57 1.81%
1630.74 2.08%
1606.28 -1.50%
1685.73 4.95%
1632.97 -3.13%
1681.55 2.97%
1756.54 4.46%
1805.81 2.80%
1848.36 2.36%
1782.59 -3.56%
1859.45 4.31%
1872.34 0.69%
1883.95 0.62%
1923.57 2.10%
1960.23 1.91%
1930.67 -1.51%
2003.37 3.77%
1972.29 -1.55%
2018.05 2.32%
2067.56 2.45%
2058.9 -0.42%
1994.99 -3.10%
2104.5 5.49%
2086.24 -0.87%
Descriptive Statistics Price stats
Variable # Fitted Mean Median Std.Dev. Root.M.Sqr. Std.Err.Mean Minimum
SP_500 60 1,526 1,414 313.744 1,558 40.504 1,031
ATT 60 28.896 30.870 4.906 29.302 0.633 18.670
Microsoft 60 69.105 66.785 24.314 73.190 3.139 32.760
Nordstrom 60 52.514 52.505 12.882 54.045 1.663 26.440

Series Plots Hi-res picture

.
SP_500 (n = 60, mean = 1,526)
2200
2000
1800
1600
1400
1200
1000
0 10 20 30 40 50
.
ATT (n = 60, mean = 28.896)
38

33

28

23

18
0 10 20 30 40 50
.
Microsoft (n = 60, mean = 69.105)
150
130
110
90
70
50
30
0 10 20 30 40 50
.
Nordstrom (n = 60, mean = 52.514)
90
80
70
60
50
40
30
20
0 10 20 30 40 50

Correlation Matrix (n=60)

Variable SP_500
SP_500 1.000 ATT
ATT 0.860 1.000 Microsoft
Microsoft 0.843 0.808 1.000 Nordstrom
Nordstrom 0.956 0.868 0.923 1.000
End of Output
 Maximum The series plots of the 5-year histories of adjusted closing
2,105 prices show dramatic overall growth, but the relations of their
34.890 month-to-month changes is not readily apparent.
128.460
80.430

mean = 1,526)

40 50 60 70

an = 28.896)

40 50 60 70

mean = 69.105)

40 50 60 70

mean = 52.514)

40 50 60 70
 Observation # 8.000 2/24/18 10:11 AM on FACDS2140 - Price st
tories of adjusted closing
owth, but the relations of their
readily apparent.
AM on FACDS2140 - Price stats - Stock_returns_data.xlsx - RegressItPC - Version 2018.02.20
2/24/18 10:11 AM on FACDS2140 - Price stats - Stock_returns_data.xlsx - RegressItPC - Version 2018.02.20
Descriptive Statistics Return stats
Variable # Fitted Mean Median Std.Dev. Root.M.Sqr. Std.Err.Mean Minimum
SP_500.PctChg.1 59 0.010 0.018 0.038 0.039 0.004907 -0.082
ATT.PctChg.1 59 0.009249 0.008984 0.042 0.042 0.005416 -0.072
Microsoft.PctChg.1 59 0.024 0.022 0.071 0.075 0.009267 -0.144
Nordstrom.PctChg.1 59 0.016 0.019 0.074 0.075 0.009574 -0.189

Autocorrelations
Variable Lag 1 Lag 2 Lag 3 Lag 4
SP_500.PctChg.1 -0.153 0.024 0.084 -0.176
ATT.PctChg.1 -0.014 -0.031 -0.061 -0.250
Microsoft.PctChg.1 0.102 -0.026 0.133 -0.125
Nordstrom.PctChg.1 -0.285 0.133 -0.249 -0.113

Correlations and Squared Correlations -vs- SP_500.PctChg.1 (n=59)

Variable Correlation Squared
SP_500.PctChg.1 1.000 1.000
ATT.PctChg.1 0.386 0.149
Microsoft.PctChg.1 0.430 0.184
Nordstrom.PctChg.1 0.645 0.416

Scatterplots Hi-res picture

.
ATT.PctChg.1 vs. Microsoft.PctChg.1 vs.
SP_500.PctChg.1 SP_500.PctChg.1
r = 0.386, slope = 0.427 r = 0.430, slope = 0.811
0.098 0.188

0.013 0.022

-0.072 -0.144
-0.082 0.013 0.108 -0.082 0.013 0.108

End of Output
 Maximum Skewness Kurtosis
Here the data analysis procedure has been applied to the 4 mo
0.108 -0.218 0.369 with the S&P 500 return selected as the "variable to list first."
0.098 0.053 -0.531
0.188 -0.027 0.031 The "show-scatterplots-for-first-variable-only-on-X-axis" option
0.286 0.149 3.065 generate scatterplots in which the returns of the 3 stocks are p
return, with regression lines and slope coefficients (betas) inc

The estimated betas for Microsoft and Nordstrom are very clo
reported by Yahoo Finance (which are 0.81 and 1.28 respectiv
beta is a bit higher than the official value (0.427 vs. 0.33).

Chg.1 vs. Nordstrom.PctChg.1 vs.

tChg.1 SP_500.PctChg.1
pe = 0.811 r = 0.645, slope = 1.258
0.286

0.049

-0.189
013 0.108 -0.082 0.013 0.108
 1234 Observation # 8.000 2/24/18 10:17 AM on FACDS2140 - Return s

edure has been applied to the 4 monthly-return variables

ected as the "variable to list first."

first-variable-only-on-X-axis" option has been used to

ch the returns of the 3 stocks are plotted vs. the S&P 500
and slope coefficients (betas) included on the charts.

rosoft and Nordstrom are very close to the current values

which are 0.81 and 1.28 respectively). AT&T's estimated
official value (0.427 vs. 0.33).
AM on FACDS2140 - Return stats - Stock_returns_stats1.xlsx - RegressItPC - Version 2018.02.20
2/24/18 10:17 AM on FACDS2140 - Return stats - Stock_returns_stats1.xlsx - RegressItPC - Version 2018.02.20
Model: ATT model
Dependent Variable: ATT.PctChg.1

R-Squared Adj.R-Sqr. Std.Err.Reg. Std.Dep.Var. # Fitted # Missing t(2.50%,57)

0.149 0.134 0.039 0.042 59 1 2.002

Variable Coefficient Std.Err. t-Statistic P-value Lower95% Upper95% VIF

Constant 0.004853 0.005227 0.928 0.357 -0.005614 0.015 0.000
SP_500.PctChg.1 0.427 0.135 3.164 0.002 0.157 0.697 1.000

SP_500.PctChg.StdErrMean StdErrFcst Predicted Lower 95% Upper 95%

-0.082 ATT model
0.013 for ATT.PctChg.1
0.041 (1 variable,
-0.030 n=59)-0.112 0.052
Predicted ATT.PctChg.1
-0.035 0.008 = 0.004853
0.039 + 0.427*SP_500.PctChg.1
-0.010 -0.089 0.069
0.013 0.005 0.039 0.010 -0.068 0.089
0.15
0.060 0.008 0.040 0.031 -0.049 0.110
0.1 0.108 0.014 0.041 0.051 -0.032 0.133

0.05
Actual
0
Upper 95%
-0.05
Predicted
-0.1
Lower 95%
-0.15
-0.1 -0.05 0 0.05 0.1 0.15
SP_500.PctChg.1

Mean Error RMSE MAE Minimum Maximum A-D* stat

Fitted (n=59) 0.000 0.038 0.031 -0.080 0.091 0.39 (P=0.376)

Lag 1 2 3 4
Autocorrelation -0.043 0.018 -0.048 -0.188
StdErrorsFromZero -0.329 0.139 -0.363 -1.395
Durbin-Watson 2.044

Actual and 1.000

Predicted -vs- Observation #
ATT model for ATT.PctChg.1 (1 variable, n=59)
0.12
0.1
0.08
0.06
0.04
0.02
0
-0.02
-0.04
-0.06
-0.08
-0.1
0 10 20 30 40 50 60 70
 Residual -vs- Observation #
ATT model for ATT.PctChg.1 (1 variable, n=59)
0.1

0.05

-0.05

-0.1
10

14

22
24
26
28

38
40
42
44
46

50

58
60
12

16
18
20

30
32
34
36

48

52
54
56
2
4
6
8

Lag 1 autocorrelation = -0.04

Residual -vs- Predicted

ATT model for ATT.PctChg.1 (1 variable, n=59)
0.1

0.05

-0.05

-0.1
-0.04 -0.03 -0.02 -0.01 0 0.01 0.02 0.03 0.04 0.05 0.06

Histogram of Residuals
ATT model for ATT.PctChg.1 (1 variable, n=59)
12
10
8
6
4 Actual
2
Normal
0
-0.0910
-0.0819

-0.0637

-0.0364
-0.0273
-0.0182
-0.0728

-0.0546
-0.0455

-0.0091

0.0091

0.0546
0.0000

0.0182
0.0273
0.0364
0.0455

0.0637
0.0728
0.0819
0.0910

Normality test (A-D*): P > 0.05

 Normal Quantile Plot
ATT model for ATT.PctChg.1 (1 variable, n=59)
3
2
1
0
-1
-2
-3
-3 -2 -1 0 1 2 3
Normality test (A-D*): P > 0.05

End of Output
 White Font NoHeaders With P-value
ATT model (#v
Here are the complete results for the regression of AT&T's return on
R code:
the S&PATT.model <- lm(ATT.PctChg.1 ~ SP_500.PctChg.1, data = BaseballData)
500 return. For a simple regression model, the regression
Confidence equation is shown in the title of the line fit plot.
95.0%
The P-value of the A-D* stat is 0.393, indicating that the error
Std. Coeff. distribution is very close to normal. This is also apparent in the very
0.000 linear pattern that is seen on the normal quantile plot.
0.386
The residual autocorrelations are all well below the two-standard-
error threshold of statistical significance. Their standard errors are
roughly 0.13, as seen in row below the autocorrelation table whose
contents have been unhidden.

MASE lag 1
0.637
Hi-res picture 1234 No Comment 2/24/18 10:20 AM on FACDS2140 - ATT mo
No preceding m ATT model lastATT model following model is Microsoft model (#vars=1, n=59, AdjRsq=0.17): Microsoft.PctChg.1 << SP_500.PctChg.1
AM on FACDS2140 - ATT model - Stock_returns_stats2.xlsx - RegressItPC - Version 2018.02.20
SP_500.PctChg.1
2/24/18 10:20 AM on FACDS2140 - ATT model - Stock_returns_stats2.xlsx - RegressItPC - Version 2018.02.20
Model: Microsoft model
Dependent Variable: Microsoft.PctChg.1

R-Squared Adj.R-Sqr. Std.Err.Reg. Std.Dep.Var. # Fitted # Missing t(2.50%,57)

0.184 0.170 0.065 0.071 59 1 2.002

Variable Coefficient Std.Err. t-Statistic P-value Lower95% Upper95% VIF

Constant 0.016 0.008757 1.827 0.073 -0.001535 0.034 0.000
SP_500.PctChg.1 0.811 0.226 3.591 0.001 0.359 1.263 1.000

SP_500.PctChg.StdErrMean StdErrFcst Predicted Lower 95% Upper 95%

Microsoft model
-0.082 0.022 for Microsoft.PctChg.1
0.069 (1 variable,-0.188
-0.050 n=59) 0.087
Predicted
-0.035 Microsoft.PctChg.1
0.013 =
0.0660.016 + 0.811*SP_500.PctChg.1
-0.012 -0.145 0.120
0.013 0.008 0.065 0.026 -0.104 0.157
0.3
0.060 0.014 0.066 0.065 -0.068 0.198
0.2 0.108 0.024 0.069 0.103 -0.035 0.242

0.1
Actual
0
Upper 95%
-0.1
Predicted
-0.2
Lower 95%
-0.3
-0.1 -0.05 0 0.05 0.1 0.15
SP_500.PctChg.1

Mean Error RMSE MAE Minimum Maximum A-D* stat

Fitted (n=59) 0.000 0.064 0.050 -0.201 0.165 0.40 (P=0.371)

Lag 1 2 3 4
Autocorrelation 0.202 0.021 0.124 -0.064
StdErrorsFromZero 1.535 0.156 0.930 -0.471
Durbin-Watson 1.589

Actual and 1.000

Predicted -vs- Observation #
Microsoft model for Microsoft.PctChg.1 (1 variable, n=59)
0.25
0.2
0.15
0.1
0.05
0
-0.05
-0.1
-0.15
-0.2
0 10 20 30 40 50 60 70
 Residual -vs- Observation #
Microsoft model for Microsoft.PctChg.1 (1 variable, n=59)
0.2

0.1

-0.1

-0.2

-0.3
12
14

18
20

26
28

32

38

42
44
46

52

58
60
10

16

22
24

30

34
36

40

48
50

54
56
2
4
6
8

Lag 1 autocorrelation = 0.20

Residual -vs- Predicted

Microsoft model for Microsoft.PctChg.1 (1 variable, n=59)
0.2
0.15
0.1
0.05
0
-0.05
-0.1
-0.15
-0.2
-0.25
-0.06 -0.04 -0.02 0 0.02 0.04 0.06 0.08 0.1 0.12

Histogram of Residuals
Microsoft model for Microsoft.PctChg.1 (1 variable, n=59)
12
10
8
6
4 Actual
2 Normal
0
-0.210
-0.189

-0.147

-0.105
-0.084
-0.063
-0.042
-0.168

-0.126

-0.021
0.000
0.021

0.063

0.105
0.126
0.147
0.168

0.210
0.042

0.084

0.189

Normality test (A-D*): P > 0.05

 Normal Quantile Plot
Microsoft model for Microsoft.PctChg.1 (1 variable, n=59)
3
2
1
0
-1
-2
-3
-4
-3 -2 -1 0 1 2 3
Normality test (A-D*): P > 0.05

End of Output
 White Font NoHeaders With P-value
Microsoft mod
R code: Microsoft.model <- lm(Microsoft.PctChg.1 ~ SP_500.PctChg.1, data = BaseballData)
Confidence
95.0%

Std. Coeff.
0.000
0.430

MASE lag 1
0.664
Hi-res picture 1234 No Comment 2/24/18 10:24 AM on FACDS2140 - Microso
No preceding m Microsoft modeMicrosoft model following model is Nordstrom model (#vars=1, n=59, AdjRsq=0.406): Nordstrom.PctChg.1 << SP_500.PctChg.1
 AM on FACDS2140 - Microsoft model - Stock_Returns_ATT.xlsx - RegressItPC - Version 2018.02.20
Chg.1 << SP_500.PctChg.1
2/24/18 10:24 AM on FACDS2140 - Microsoft model - Stock_Returns_ATT.xlsx - RegressItPC - Version 2018.02.20
Model: Nordstrom model
Dependent Variable: Nordstrom.PctChg.1

R-Squared Adj.R-Sqr. Std.Err.Reg. Std.Dep.Var. # Fitted # Missing t(2.50%,57)

0.416 0.406 0.057 0.074 59 1 2.002

Variable Coefficient Std.Err. t-Statistic P-value Lower95% Upper95% VIF

Constant 0.002669 0.007657 0.349 0.729 -0.013 0.018 0.000
SP_500.PctChg.1 1.258 0.198 6.371 0.000 0.863 1.654 1.000

SP_500.PctChg.StdErrMean StdErrFcst Predicted Lower 95% Upper 95%

Nordstrom model
-0.082 0.020 for Nordstrom.PctChg.1
0.060 (1 variable,
-0.100 n=59)
-0.221 0.020
Predicted
-0.035 Nordstrom.PctChg.1
0.012 = 0.002669
0.058 + 1.258*SP_500.PctChg.1
-0.041 -0.157 0.075
0.013 0.007 0.057 0.019 -0.096 0.133
0.4
0.060 0.012 0.058 0.079 -0.038 0.195
0.3 0.108 0.021 0.060 0.138 0.017 0.259
0.2
0.1 Actual
0 Upper 95%
-0.1 Predicted
-0.2 Lower 95%
-0.3
-0.1 -0.05 0 0.05 0.1 0.15
SP_500.PctChg.1

Mean Error RMSE MAE Minimum Maximum A-D* stat

Fitted (n=59) 0.000 0.056 0.043 -0.124 0.173 0.33 (P=0.523)

Lag 1 2 3 4
Autocorrelation -0.301 0.122 -0.248 -0.030
StdErrorsFromZero -2.295 0.920 -1.855 -0.220
Durbin-Watson 2.579

Actual and 1.000

Predicted -vs- Observation #
Nordstrom model for Nordstrom.PctChg.1 (1 variable, n=59)
0.4
0.3
0.2
0.1
0
-0.1
-0.2
-0.3
0 10 20 30 40 50 60 70
 Residual -vs- Observation #
Nordstrom model for Nordstrom.PctChg.1 (1 variable, n=59)
0.2
0.15
0.1
0.05
0
-0.05
-0.1
-0.15
10

14

22
24
26
28

38
40
42
44
46

50

58
60
12

16
18
20

30
32
34
36

48

52
54
56
2
4
6
8

Lag 1 autocorrelation = -0.30

Residual -vs- Predicted

Nordstrom model for Nordstrom.PctChg.1 (1 variable, n=59)
0.2
0.15
0.1
0.05
0
-0.05
-0.1
-0.15
-0.15 -0.1 -0.05 0 0.05 0.1 0.15 0.2

Histogram of Residuals
Nordstrom model for Nordstrom.PctChg.1 (1 variable, n=59)
12
10
8
6
4 Actual
2 Normal
0
-0.180
-0.162

-0.126

-0.090
-0.072
-0.054
-0.036
-0.144

-0.108

-0.018
0.000
0.018

0.054

0.090
0.108
0.126
0.144

0.180
0.036

0.072

0.162

Normality test (A-D*): P > 0.05

 Normal Quantile Plot
Nordstrom model for Nordstrom.PctChg.1 (1 variable, n=59)
4
3
2
1
0
-1
-2
-3
-3 -2 -1 0 1 2 3
Normality test (A-D*): P > 0.05

End of Output
 White Font NoHeaders With P-value
Nordstrom mod
R code: Nordstrom.model <- lm(Nordstrom.PctChg.1 ~ SP_500.PctChg.1, data = BaseballData)
Confidence
95.0%

Std. Coeff.
0.000
0.645

MASE lag 1
0.479
Hi-res picture 1234 No Comment 2/24/18 10:24 AM on FACDS2140 - Nordstr
No preceding m No following model in this sequence.
AM on FACDS2140 - Nordstrom model - Stock_Returns_Microsoft.xlsx - RegressItPC - Version 2018.02.20
2/24/18 10:24 AM on FACDS2140 - Nordstrom model - Stock_Returns_Microsoft.xlsx - RegressItPC - Version 2018.02.20
 Summary of Regression Model Results
ATT model (#vars=1, n=59, AdjRsq=0.134): ATT.PctChg.1 << SP_500.PctChg.1
Dependent Variable: ATT.PctChg.1 ATT model
Run Time 2/24/18 10:20 AM
# Fitted 59
Mean 0.009
Standard Deviation 0.042
Number Of Variables 1
Standard Error of Regression 0.039
R-squared 0.149
Adjusted R-squared 0.134
Mean Absolute Error 0.031
Mean Absolute Percentage Error
Maximum VIF
Normality Test _
Mean Absolute Scaled Error 0.637 (lag 1)
Residual Autocorrelation -0.04 (lag 1)

Coefficients: ATT model

Constant 0.004853 (0.357)
SP_500.PctChg.1 0.427 (0.002)

ft model (#vars=1, n=59, AdjRsq=0.17): Microsoft.PctChg.1 << SP_500.PctChg.1

Dependent Var: Microsoft.PctChg.1 Microsoft model
Run Time 2/24/18 10:24 AM
# Fitted 59
Mean 0.024
Standard Deviation 0.071
Number Of Variables 1
Standard Error of Regression 0.065
R-squared 0.184
Adjusted R-squared 0.170
Mean Absolute Error 0.050
Mean Absolute Percentage Error
Maximum VIF
Normality Test _
Mean Absolute Scaled Error 0.664 (lag 1)
Residual Autocorrelation 0.20 (lag 1)

Coefficients: Microsoft model

Constant 0.016 (0.073)
SP_500.PctChg.1 0.811 (0.001)

model (#vars=1, n=59, AdjRsq=0.406): Nordstrom.PctChg.1 << SP_500.PctChg.1

Dependent Var: Nordstrom.PctChg.1 Nordstrom model
Run Time 2/24/18 10:24 AM
# Fitted 59
Mean 0.016
Standard Deviation 0.074
Number Of Variables 1
Standard Error of Regression 0.057
R-squared 0.416
Adjusted R-squared 0.406
Mean Absolute Error 0.043
Mean Absolute Percentage Error
Maximum VIF
Normality Test _
Mean Absolute Scaled Error 0.479 (lag 1)
Residual Autocorrelation -0.30 (lag 1)
 Coefficients: Nordstrom model
Constant 0.002669 (0.729)
SP_500.PctChg.1 1.258 (0.000)
White No Font
Comment