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1、CFALevel11Questions#1-6of42Questions1-6relatetoGoldensandJewelrLtdIntroductionRajRShSinghistheCFOofGoldensandJewelry,Ltd,aLondon-basedretailercffinejewelryandwatches.Singhhasnoticedthatthepriceofgoldhasbeguntoincrease.IfeconomicactivitycontinuestopickURthepriceofgoldislikelytoaccelerateitsrateofincr
2、easeasboththelevelofdemandandinflationratesincrease.ImplicationsofRisingGoldPriceSinghhasbecomeConCernedaboutthecostimplicationsfBGoldensandifgoldpricescontinuetoriseHehasrequestedameetingwithAnitaBiscayne,GoldensancTsCOO.Inprepaiationforthemeeting,SinghaskedoneofhisstallYasunobuHara,topreparearegre
3、ssionanalysiscomparingthepriceofgoldtoeaveragecostofGoldensanrfSPUrChaSeSoffinishedgold方Weiry.HaraprovidestheregressionresultsasshowninExhibitLExhibit1:1979-2009AnnualData(31Observations)VariableCoefficientStandardErroroftheCoefficientInterceptIL067.29Costfgold2.8970.615standarderroroftheforecast=11
4、7.8Exhibit2:PartialStUdenfSt-diStributionTable1.evelofSignificanceforOne-TailedTestdfQlOOQ050tt025QOloQ005Q00051.evelofSignificanceforTwo-TailedTestdfQ200ooQ050a020QOlOQOOl29L3111.69920452.46227563659301.3101.69720422.4572750&64631L3091.6962.040245327442636ReviewingtheregressionresultsBiscaynebecome
5、sconcernedabouttheimplicationsforthecostoffinishedjewelrytoGoldensandiftheprice Biscayne worries that the regression model is misspecified because it does not include a variable to measure the cost of the highly specialized Uibor used by m anufacturing jewelers. She poits out that the effect of omit
6、ting an i mportat variable in a regression analysis is that the regression coefficients will be unbiased and inconsistent Singh adds that another com mon consequence of misspecifying a regression analysis is creating undesired stationarity.Multiple RegressionHara conducts a series f regression analy
7、ses using all possible combinations of the suggested independent VariableS based on their average quarterly values. He returns with the following regression results as shown in Exhibit 3 for the equation which uses all suggested independent variable*Exhibit 3: 1999-2009 Quarterly Data (44 Observatis
8、)goldcontinuestoriseToremainprofitable,thecostoffinishedjewelryshouldnotexceed$2,000.RegressionConcernsOverallConcernsSinghsprincipalconcernabouttheregressionisWhetherthetimeperiodchosenisagoodpredictorofthecu11entsituation*Hemakesthefollowingstatement：Statement1:WemayhaveaproblemwithparameterInstab
9、ilityiftherelationshipbetweengoldpricesandjewelrycostshaschangedoverthepast30yearsSinghalsofocusesonthevalueoftheslopecoefficientHeexpectedittobe40basedonhisexperienceintheindustry,Haracomputestheappropriateteststatisticandreportsthefollowing:Statement2:Wefailtorejectthenullhypothesisthattheslopecoe
10、fficientisequalto40atthe5%levelofsignificance.Testingfa、HeteroskedasticityBiscayneremarksthatthedramaticincreaseinthepriceleveloverthepast30yearsleadshertosuspectHeteroskedasticityintheregressionresultsShesuggeststoSinghthattheyshouldconductaBreusch-Paganchi-squaretestforHeteroskedasticitybycalculat
11、ingthefollowingteststatistic：nR2withkdegreesoffiedomwhere:n=numberofobservationsR=RJoftheregressionofjewelrypricesongoldpricesk二numherofindependentVciriablesodelMisspeciiicationBiscayneandSinghhavevariousviewsonthepotentialfa、modelmisspecificationandtheeffectofanysuchmisspecificatbii.Intercept-393.7
12、Goldprice714.5Silverprice1.27.8Platinumprice3.53.1Laborcosts0.822.4GDP(EU)0.0002745.7GDP(MiddleEast)0.0000493.6Personalincome(El)0.0003142.1Personalincome(MiddleEast)0098762.2IndependentVariablesR2:Q55Coefficient IrStatisticDurbin-Watson:389HaraisconcernedabouttheequationdescribedinExhibit3Hemakesth
13、efollowingstatement:Statement3:Themodelappearstosufferfrommultico11inearitDroppingoneormoreindependentvariableswillincreasethecoefficientofdetermination.Biscaynerespondswiththefollowingstatement:Statement 4:AnautocorrelationproblemcanbeaddressedbyusingtheHansenmethodtoadjustthe代Exhibit4:PartialDurbi
14、rrWatsonTableCriticalValuesfartheDurbiirWatsonStatistic(=Q05)K=3K=4K三5di%Lidu九39l+33L66L27L721.22L79401.341.661.291.721.231.7945L381.67L341.721.291.78Question#1of42QUestionID:1214287Theperouncepriceofgoldthatcorrespondstothe$2,OOOcostoffinishedjewelryisclosestto：A)$687.B)$712C)$3,240.ExplanationCost
15、offinishedjewelry=ILo6+2897(costofgold)$2,000=11.06+2897fcostofgold)Priceofgold=($2,000-11.06)/2897=$686.55ForFurtherReference:(StudySession2,Module4.3,LOS4e)SchweserNotes,Book1page126CFAProgTciniCurriculum,VolumeLpage250Question#2of42Question11):1214288AreSingh(Statement1)andHara(Statement2)correctorincorrectregardingtheusefulnessofregressionresultsdescribedinExhibit1andthevalueofeslopecoefficient?A)BotharecorrectB)Oneiscorrect,theotherisin
