Consider the data in Table E3.5. Fit the lagged variables regression models shown in Eqs. (3.119) and (3.120) to these data. Compare these models with the results you obtained in Exercise 3.12 using the Cochrane-Orcutt procedure, and with the time series regression model.
TABLE E3.5 Market Share and Price of Canned Peaches
t
X1
y1
T
Xt
yt
1
100
15.93
9
85
16.60
2
98
16.26
10
83
17.16
3
15.94
11
81
17.77
4
89
16.81
12
79
18.05
5
95
15.67
13
90
16.78
6
87
16.47
14
77
18.17
7
93
15.66
15
78
17.25
8
82
16.94
Exercise 3.12The data in Table E3.6 give the monthly sales for a cosmetics manufacturer (y1) and the corresponding monthly sales for the entire industry (x1). The units of both variables are millions of dollars.
TABLE E3.6 Cosmetic Sales Data
xt
5.00
0.318
6.16
0.650
5.06
0.330
6.22
0.655
5.12
0.356
6.31
0.713
5.10
0.334
6.38
0.724
5.35
0.386
6.54
0.775
5.57
0.455
6.68
0.78
5.61
0.460
16
6.73
0.796
5.80
0.527
17
6.89
0.859
6.04
0.598
18
6.97
0.88
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