Desautels Faculty of Management McGill University 1001 Sherbrooke Street West Montreal, Quebec, H3A 1G5

Advanced Business Statistics MGSC-372 Winter 2012

Dr. Brian Smith Office: Bronfman 521 Telephone: 398-4038 E-mail: brian.smith@mcgill.ca Office Hours: Secretary: Gina Ceolin Office: Bronfman 506 Telephone: 398-4000 Ext. 09662 Office Hours: Posted on door of Bronfman 506 E-mail: gina.ceolin@mcgill.ca

Teaching Assistant : Saurin Patel Email: saurin.patel@mail.mcgill.ca

Course Materials
Business Statistics: A Second Course. Custom Edition for McGill University, Pearson Custom Publishing, 2007.

Note on the text In addition to material chosen primarily from the text A Second Course in Statistics: Regression Analysis by Mendenhall and Sincich, Professor Smith has added his own material specifically for this course. A CD containing all data sets in the text is included with the text. The statistical software package Minitab, Student Edition 14, is also included. The text will be referred to during lectures; therefore students are advised to use the text for studying and to bring it to class. Problems selected from the text, supplemented by additional material that will be posted on WebCT, will be used freely in class. Lecture attendance, while not compulsory, should be considered essential. If you cannot attend a class, notes should be obtained from a classmate.

The University requires that the following STATEMENTS must be included on all course outlines:

1) Right to submit in English or French written work that is to be graded [approved by Senate on 21 January 2009]:

In accord with McGill Universitys Charter of Students Rights, students in this course have the right to submit in English or in French any written work that is to be graded.
This right applies to all written work that is to be graded, from one-word answers to dissertations. 2) Academic Integrity statement [approved by Senate on 29 January 2003]:

McGill University values academic integrity. Therefore all students must understand the meaning and consequences of cheating, plagiarism and other academic offences under the Code of Student Conduct and Disciplinary Procedures (see www.mcgill.ca/students/srr/honest/ ) for more information).

L'universit McGill attache une haute importance lhonntet acadmique. Il incombe par consquent tous les tudiants de comprendre ce que l'on entend par tricherie, plagiat et autres infractions acadmiques, ainsi que les consquences que peuvent avoir de telles actions, selon le Code de conduite de l'tudiant et des procdures disciplinaires (pour de plus amples renseignements, veuillez consulter le site www.mcgill.ca/students/srr/honest/ ).
RESOURCE DOCUMENTS The links found directly below will lead you to relevant resource documents regarding Academic Integrity. The following documents discuss issues of academic integrity

www.mcgill.ca/files/students/AI-InstructorsResource.pdf www.mcgill.ca/files/students/AI-InstructorsResourceGraduateStudents.pdf

3) Use of Text-matching software [approved by Senate on 1 December 2004]: Instructors who may adopt the use of text-matching software to verify the originality of students written course work must register for use of the software with Teaching Technology Services (Maggie.lattuca@mcgill.ca ) and must inform their students before the drop/add deadline, in writing, of the use of text-matching software in a course. RESOURCE DOCUMENT www.mcgill.ca/files/students/Text-Matching-Policy-on-English.pdf

Course Objectives
The course will provide an in-depth analysis of regression techniques in business and finance. Real data and authentic applications will be used throughout the course. The use of computer software is an essential component of the course and both Excel and Minitab will be employed to assist in the analysis of regression models to solve a variety of practical problems. Although the emphasis in the course is not primarily mathematical, in some instances it will be necessary to examine the mathematical derivation of key formulas, particularly when we cover the topics of least squares and maximum likelihood estimation.

Learning Outcomes

To study estimation theory, with particular emphasis on the concepts and techniques of maximum likelihood estimation. To understand the nature of statistical relationships between variables, and to explore the concept of causality. To thoroughly explore regression analysis, including simple linear regression, multiple regression, logistic regression, and autoregression. To learn techniques for selecting appropriate regression models for prediction and forecasting. To introduce fundamental ideas of experimental design, analysis of variance, and factor analysis. To become familiar with the use of a modern, commercial statistical software package. We will use Minitab, but the skills learned will be transferable to other software packages such as SPSS and SAS. To be able to critically read and understand regression and factorial models in business and financial research papers.

Calculators
Each student should have an inexpensive, silent, battery-operated electronic calculator for use in the course, and for the midterm and final examination. Calculators with built-in statistical functions are useful but not essential. A statistical calculator will be helpful for assignments and will allow you to check your calculations. Calculators storing text are not permitted in examinations.

WebCT
The instructor will communicate with the class by posting announcements on WebCT on a regular basis. All students are responsible for consulting the course WebCT site on frequently for course updates, file postings (including assignments and data sets), and grades.

Assignments/Cases
There will be 3 assignments during the semester. All students are expected to fully complete all of the assignments. Students are responsible for ensuring that once submitted, a grade is assigned for each assignment on WebCT, and that the grade posted on WebCT is accurate; these responsibilities will be part of the student's record of participation and seriousness. Also, assignment problems are chosen to reflect key ideas that will be used in examinations. Therefore, a student who regularly completes assignment on schedule will have a significant advantage. Assignments are due on the specified due date and may be submitted either in class or by 17:00 in the secretarys office, Bronfman 506. DO NOT SLIDE ASSIGNMENTS UNDER THE PROFESSORS OR THE TAS DOOR AS THEY WILL NOT BE ACCEPTED. Upon submitting assignments, ensure that names, course sections and student identification numbers are written on each page of the assignment. Page numbers should also be included. Corrected assignments will be returned in class. All assignments which are not claimed in class can be picked-up during the TAs or the professors office hours. Students are allotted 3 days to request a re-grade or a correction of the grade. In order to submit an assignment for a re-grade, the student should return the assignment to the secretary, accompanied by a detailed written explanation. The secretary will then pass it on to the professor for a final decision. Re-grades are final and may not be appealed.

Computing
Students will be expected to use and to be familiar with output from the spreadsheet program Microsoft Excel and from the software package Minitab. While Excel is an excellent spreadsheet program, its statistical capabilities are quite limited and professional statisticians will not rely exclusively on Excel as their primary software. Therefore we will use Minitab for more advanced statistical analyses. The text contains data sets that will be used throughout the course. Some exam questions will incorporate Excel or Minitab components, in which

snapshots of computer screens and statistical results will be provided for student analysis. Excel and Minitab files used in class will be posted on WebCT if they are not already in the text.

Midterm Exam
There will be a compulsory two-hour, closed book midterm exam on Friday, 16 March from 9:00 11:00 am. Any student who misses a midterm or final exam must contact the professor within 5 business days of the date of the exam. A valid reason for missing the exam and proper documentation must be presented. Since make-up exams are generally not available, the final exam will count for 85%.

Evaluation Method
3 Assignments Midterm Exam Final Exam 15% 25% 60%

Tentative Syllabus:
Students who miss a class should contact a classmate to obtain information on assignments, material covered or omitted, etc. Although no attendance will be taken, missing more than one the occasional class may result in falling behind in the course. It is not the instructor's responsibility to provide students with information already made available. The following schedule of classes may be modified based on the daily exigencies of the real world, but in general we will attempt to stay close to this timetable.

Classes Jan 10/12

TOPIC Review: - Binomial Distribution - Normal Distribution Lognormal Distribution

READINGS Chapter 1

Jan 17/19

Estimation: - Least Squares estimation (LSE)

Chapter 2

Jan 24/26 Jan 31/Feb 2

- Maximum Likelihood estimation (MLE) MLE Estimation Examples

Simple and Multiple Regression Topic - Multicollinearity

Chapter 3/4 Chapter 5

Adjusted R2
Quadratic Models Variable transformation Models with Interaction Nested models (partial correlation) Variable screening Methods Stepwise regression All-Possible Regressions Evaluation of criteria for selecting the best model Chapter 6

Feb 7/9 -

Feb 14/16

Regression pitfalls - Standardized regression coefficients - Multicollinearity - Variance Inflation factor - Data Transformations Spring Break Residual Analysis - Detecting unequal variances - Checking for normality - Outliers and Influential observations Residual Correlation: Durbin-Watson Test Logistic Regression

Chapter 7

Feb 20 - 24 Feb 28/Mar 1

Chapter 8

Mar 6/8

Chapter 7

Introduction to Time Series Time Series components The Multiplicative Models Mar 13/15 Forecasting with the multiplicative model Midterm Review Mar 16 Friday Mar 20/22 Midterm Exam Autocorrelation & Autoregression ARMA models Forecasting with ARMA models Analysis of Variance - one factor - Two factor ANOVA: Multiple Comparisons - Contrasts - Bonferroni comparisons - Tukeys Multiple Comparison Checking ANOVA assumptions Review for Final Exam

Chapter 8

Chapter 8

Good Luck Chapter 9 Chapter 10 Chapter 11

Mar 27/29

Apr 3/5

Chapter 11

Apr 10/12

Last updated: Jan 9, 2012