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Statistics and Econometrics, final exam 2021-02-09

TOTAL ……… /80 PT

EXAM RULES

a) All solutions have to be solved at paper sheets using

handwriting.
b) Photocopies of the solutions have to be sent
immediately after the exam to
mchlebus@wne.uw.edu.pl.
c) Not sending the exam within 5 minutes after the exam,
would be treated as lack of attempt to the exam.
d) One has to solve all problems.
e) Exam lasts 90 minutes.
f) The exam is an open book exam.
g) To obtain a positive total grade one needs to collect at
least 50% of points available to collect.
h) Each noticed attempt of cheating means immediate
turning out of the exam, information to the Dean and a
request for disciplinary measures to the University
Disciplinary Commission. Above consequences apply
also to writing the exam after its time is over.

Problem 0. Ethical Statement.

I have read and I accept the exam rules. I promise that I will not cheat. If I
cheat, I would request for removing myself from the students list.

Warsaw, 2021-02-09,

…………………………………..
SIGNATURE

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Statistics and Econometrics, final exam 2021-02-09

PROBLEM 1 ……… /20 PTS

Problem 1. Descriptive statistics.

Below table presents closing prices from 2015-01-22 for 10 randomly

selected shares listed on the Warsaw Stock Exchange.
# Company Price
1 HANDLOWY 17
2 AMREST 18
3 TALANX 19
4 KGHM 10
5 KRUK 13
6 INGBSK 16
7 PULAWY 11
8 CCC 16
9 BUDIMEX 10
10 MOL 12
Please calculate following measures (please present relevant steps of each
calculation):
1) mean (2 pts)
2) median (2 pts)
3) mode (2 pts)
4) variance (2 pts)
5) 1 quartile (2 pts)
6) Interquartile range (2 pts)
7) Coefficient of variance (2 pts)
8) 3-sigma value (3 pts)
9) Coefficient of asymmetry (3 pts)

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Statistics and Econometrics, final exam 2021-02-09

PROBLEM 2 ……… /30 PTS

Problem 2. Hypothesis testing.
Difference in average income for woman and man in 2013 were
investigated. Is there enough evidence to support the claim that income in
2013 was significantly higher for man than for woman on the α=0.05 (15
points)? Use appropriate test and interpret obtained results.

Tests results:

Jarque-Bera test for normality Jarque-Bera test for normality

data: Data[Data$Gender == "Male", "Wrkday"] data: Data[Data$Gender == "Female", "Wrkday"]

JB = 0.084323, p-value = 0.9605 JB = 0.66979, p-value = 0.621

F test to compare two variances

data: Data$Wrkday by Data$Gender

F = 0.54036, num df = 19, denom df = 19, p-value = 0.1889

alternative hypothesis: true ratio of variances is not equal to 1

95 percent confidence interval: 0.2138808 1.3651913
sample estimates: ratio of variances 0.5403593

t.test(Wrkday ~ Gender, data = Data, t.test(Wrkday ~ Gender, data = Data, conf.int

conf.int = 0.95, var.equal = FALSE, = 0.95, var.equal = TRUE, alternative =
alternative = c("greater")) c("greater"))

Welch Two Sample t-test Two Sample t-test

data: Wrkday by Gender data: Wrkday by Gender

t = 0.76722, df = 34.893, p-value = 0.2241 t = 0.76722, df = 38, p-value = 0.2238
alternative hypothesis: true difference in alternative hypothesis: true difference in
means is greater than 0 means is greater than 0
95 percent confidence interval: 95 percent confidence interval:
-49.59793 Inf -49.39584 Inf
sample estimates: sample estimates:
mean in group Male mean in group Female mean in group Male mean in group Female
1287.50 1246.25 1287.50 1246.25

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Statistics and Econometrics, final exam 2021-02-09

A call-center manager is creating a system to decrease the variance of the

time client waits before its call is taken. Under the old system sample of 50
clients have variance of 121 and under the new system a random sample of
100 clients had a variance of 64. At the level of significance equal to 5% is
there enough evidence to start a new process?

(hint: F0,975
−1 −1
(49,99) = 1,663, F0,95 −1
(49,99) = 1,530, F0,975 (99,49) =
−1
1,597, F0,95 (99,49) = 1,481))

1) Please define null & alternative hypothesis (3 pts).

2) Calculate test statistic and compare it with appropriate critical value
(8 pts).
3) Interpret obtained results (4 pts).

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Statistics and Econometrics, final exam 2021-02-09

PROBLEM 3 ……… /30 PTS

PROBLEM 3. OLS model estimation.
An OLS model was estimated to investigate relation between income and some
characteristics for professor in the USA. The dependent variable was salaries (salary),
the independent variables were: experience in years (yrs.service), rank of position (1 –
Assistant Professor, 2 – Associate Professor, 3 - Professor) and gender (1 - female, 2 -
male). To estimate the model, 397 observations were used. Following results were
obtained:

lm(formula = salary ~ sex + yrs.service + rank, data = Salaries)

Residuals:
Min 1Q Median 3Q Max
-64500 -15111 -1459 11966 107011

Coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) 76612.8 4426.0 17.310 < 0.0000000000000002 ***
sexMale 5468.7 4035.3 1.355 0.17613
yrs.service -171.8 115.3 -1.490 0.13694
rankAssocProf 14702.9 4266.6 3.446 0.00063 ***
rankProf 48980.2 3991.8 12.270 < 0.0000000000000002 ***
---
Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1

Residual standard error: 23580 on 392 degrees of freedom

Multiple R-squared: 0.4, Adjusted R-squared: 0.3938
F-statistic: 65.32 on 4 and 392 DF, p-value: < 0.00000000000000022

------------------------------------------------------------------------------
TEST TEST STATISTICS P-VALUE
BREUSCH-GODFREY chi2(2) = 0.52 Prob > chi2 = 0.406
BREUSCH-PAGAN chi2(1) = 1.50 Prob > chi2 = 0.2214
RAMSEY RESET F(3, 990) = 1,10 Prob > F = 0.34
JARQUE-BERA chi2(2) = 44.81 Prob > chi2 = 0.000

Using obtained results please perform the following task (Assuming 5% significance level):
1) Interpret estimated coefficients. (6 pts)
2) Check how well data fit to the statistical model (select appropriate value and interpret
results). (4 pts)
3) Check significance and joint significance of the coefficients (select appropriate test, p-
value and interpret results). (4 pts)
4) Check whether autocorrelation may be identified in the model (select appropriate test,
p-value and interpret results). (4 pts)
5) Check whether Heteroskedasticity may be identified in the model (select appropriate
test, p-value and interpret results). (4 pts)
6) Check whether error term comes from a normal distribution (select appropriate test, p-
value and interpret results). (4 pts)
7) Check whether the model has appropriate specification (select appropriate test, p-value
and interpret results). (4 pts)

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