Professional Documents
Culture Documents
AdvancedBusinessAnalytics
Module32017
ProfessorRobertPlante
OBJECTIVE
Theobjectiveofthiscourseistofamiliarizeyouwithanalytical
modelsandstatisticalsoftware(SASandMinitab)thatareused
frequentlyindecisionmakingandinempiricalstudy.Thefocusof
thecourseisontheappropriatemeansofapplyingtheseanalytical
methodstoaidinarrivingatdecisions.Underlyingtheoretical
conceptsarebroughtforwardanddemonstratedtounderstand
importantmethodology.Studentsareexpectedtohavecompleted
MGMT670orequivalentasaprerequisite(basicstatisticsup
throughMultipleRegression).Thematerialsinthiscourseare
intendedtohavesomeinitialoverlapwiththecontentof670.The
overlapwillbeusedtobothreviewfundamentalconceptsofGeneral
LinearModels(MultipleRegression)andintroduceyoutothe
analyticalsoftwaresystemSAS.
Whilethereareamultitudeofadvancedlinearmodelsconcepts,
thiscoursewillfocusonpredictivemodelbuildingusing(1)
MultipleRegressionAnalysis,(2)IndependentIndicator
Variables(ANOVA,ANCOVA,BlockingDesigns,Factorial
Designs,PiecewiseLinearRegression,andSplines),and(3)
ForecastingandTimeSeriesModels(Autoregressive,Moving
Average,ARIMAandCrossCorrelationmodels).
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TOPICSTOBECOVERED
1. MultipleRegression
SimpleandMultiplelinearregressiontopicswillbecovered.Thesetechniquesareusedtoassess
theinfluenceofasetofvariablesonasingleresponsevariable.Conceptssuchas
multicollinearity,partitioningofvariationandmodelbuildingwillbecovered.Itisassumedthat
studentsalreadyhaveabackgroundinthisarea.Yourfamiliaritywiththisconceptwillbeused
tointroduceSASproceduralprogramming,whichisthemainanalyticalsoftwarethatwillbe
usedthroughoutthecourse.
2. AnalysisofVariance(ANOVA):ARegressionApproach
Techniquessuchasdesignofcontrolledexperimentsforcollectingdataandanalyzingthefactor
effectswillbeintroduced.Techniquessuchasblockingandanalysisofcovariancewillbe
covered.
3. QualitativeIndependentVariables
Thetechniquesassociatedwiththeuseofdummyorindicatorvariablesareintroduced.
Interactioneffectsinvolvingdummyvariablesarediscussed.Piecewiselinearregressionmodels
areintroduced,aswellastheconceptofsplines.
4.UnivariateTimeSeriesModelsfortheMean
Weoftenencounterproblemswherewewouldliketoforecastvariablessuchasconsumer
demandorstockreturns.Usinghistoricaldata,wewilldevelopAR(AutoRegressive),MA
(MovingAverage),ARMA,ARIMA,aswellascorrespondingseasonalmodelsthatcanbeused
forsuchforecasts.
5. (TimePermitting)UnivariateTimeSeriesModelsforVolatility
Insometimeseries,especiallyinfinance,weencounternonconstantvariance(volatility).The
ARCH(AutoregressiveConditionalHeteroscedastic)andGARCH(GeneralizedConditional
Heteroscedastic)modelsareusedtomodelsuchsituations.SpecializedGARCHmodelsmay
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alsobeusedtoassessvariousmetrics,suchasGARCHMmodelstoassessRiskPremiumsand
EGARCHmodelstoassessLeverageEffects.
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InstructionMaterials
Text:
AppliedLinearRegressionModels,Kutner,Nachtsheim
andNeter(KNN),McGrawHill/Irwin,20044thedition,
ISBN:9780073013442.
References:
1. StatisticsandFinance,DavidRuppert(R),Springer,2004,
ISBN:0387202706.
2. AnalysisofFinancialTimeSeries,RueyTsay(T),John
Wiley&Sons,2005,ISBN:0471690740.
3. BusinessStatistics:ADecisionMakingApproach,
Groebner,Shannon,FryandSmith(GSFS),PrenticeHall
2008edition.ISBN:9780136121015.
CasePacketSelectedChaptersfromthethreereferences
above.Anotherusefulreferencewouldbethetextfrom
MGMT670(ASW).
PowerPointSlidesandDataFilespostedtoKatalyst.
Grading
AnalyticalProject30%(TeamGrade)
TeamHomework25%(TeamGrade)
TeamParticipation20%(IndividualGrade)
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MidTermExam25%(IndividualGrade)
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AnalyticalProject
TeamProject:
Themainobjectiveofthisprojectistofindsomereal
applicationsofthecoursetopics/techniquesinareasof
management,includingOBHR,marketing,MIS(especially
behavioralside),finance,strategy,accounting,etc.Your
assignmentistoidentifyatimeseriesproblemofinterestto
theteam,collectdataandconductatimeseriesstudy.Apaper,
describingyourproject,shoulddescribetheproblemthatyou
areaddressing,aliteraturesearchofsimilarapplications,your
approachtosolvingtheproblem,andaSASimplementation
fordataanalysisoftheproblem.Pleasesummarizeyour
findingsinatmosta5pagefinalreport,plusanyattachments
youmayhave.TheDatafile(atleast50observations),SAS
codeandSASoutputshouldbepartofyourattachments.
Youmayfindthefollowingwebsite,createdbyour
ParrishLibraryStaff,useful.
http://guides.lib.purdue.edu/melcourses/mgmt672
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SessionDate
1 January10
2 January12
3 January17
4 January19
5 January24
6 January26
7 January31
8 February2
9 February7
10 February9(MidTermExam)
11 February14
12 February16
13 February21
14 February23
15 March2(TimeSeriesProjectDue)
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TentativeCourseOutline
Session Topic
1 CourseIntroduction
Readings:SASandBasicsofLinearAlgebra
SASshortcourse.pdf
USINGEXCELDATAFILESINSAS.doc
Chapters1and2inKNNandrelatedtopicsinASW
Materials:
a. LinearModels_STATS1_F.ppt
b. LinearModels_STATS_LA1.ppt
2.MultipleLinearRegressionModel1
SimpleLinearRegression
Readings:
Chapter1inKNNandrelatedtopicsin
ASW
LinearModels_REG1_F.ppt
Materials:
a.LinearModels_REG1_F.ppt
b.GDP_IncomeTax_19751995.xls
c. SASCodeTAX_GDP19751995.docx
d. Betas.xls
e. SASCode_ToclearResultsViewer.docx
Assignment1:
UsingSAS,Problem1.21inKNN(duein
Session4)
Airfreightbreakage.txt
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3 MultipleLinearRegressionModel2
SimpleLinearRegression
Readings:
Chapter2inKNNandrelatedtopicsin
ASW
LinearModels_REG2_F.ppt
Materials:
a. LinearModels_STATS_LA2.ppt
b. LinearModels_REG2_F.ppt
c. SASCodeTAX_GDP19751995.docx
d. Supermarket.xls
Assignment2:
UsingSAS,Problem2.6(a,b),2.15(a,b)and
2.25inKNN(dueinSession6)
Airfreightbreakage.txt
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4 MultipleLinearRegressionModel3
MultipleLinearRegression
Readings:
Chapters5,6and7inKNNandrelatedtopicsin
ASW
LinearModels_REG3_Fa.pptx
Materials:
a.LinearModels_REG3_F.ppt
b.MedicalUnivariateSASCode.docx
c.Prod.xls
d.SASCodeforDailyProductionofSteel.docx
e.MulticollinearityEffectsProblem_BodyFat.xlsx
f.SASCodeforBodyFatStudy.docx
Assignment2contd:
UsingSAS,Problem7.37inKNN(duein
Session6)
CDI.txt
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5 GeneralLinearModel1
ANOVA,ANCOVAandBLOCKING
Readings:
Chapter8inKNNandrelatedtopicsinASW
LinearModels_REG3_Fb.pptx
Materials:
a. LinearModels_REG3_F.ppt
b. TrainingSASCode.docx
c. MachineSASCode.docx
d. BatteryLifeSASCode.docx
e. PackageDesignSASCode.docx
f. FillingProcessSASCode.docx
Assignment3:
UsingSAS,Problem8.41inKNNUseTukey
insteadofBonferroniforpartc.(dueinSession8)
SENIC.txt
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6 GeneralLinearModel2
PiecewiseLinearRegressionandSplines
Readings:
PowerPointSlides
Materials:
a. LinearModels_Splines.ppt
b. QuarterlyEPSforJohnson&Johnson19801990.txt
c. SemiannualMortgagerates.txt
d. onethree&sixmonthEurodollarinterestrates.txt
e. SASCodeforQuarterlyEPSforJohnson&Johnson1980
1990.doc
f. SASCodeforSemiannualMortgageRates.doc
g. SASCodeforEurorate.doc
Assignment3contd:
AppearingattheendofthePowerPointslides
(dueinSession8)
RetailInventoryEffectsonStockPrice.txt
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7TimeSeriesDecompositionModels
Readings:
Chapter16inGSFS(relatedtopicsinASW)
Materials:
a. LinearModels_FOR_1a.pptx
b. SASCodeDecompositionalModelsExample_V2.docx
Assignment4:
AppearingattheendofthePowerPointslides
(DueinSession12).
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8TimeSeriesAutocorrelation
Readings:
Chapter4inR
Materials:
a. LinearModels_FOR_2.ppt
b. MonthlyStockReturnsJan1990toDec2003.xls
c. MonthlyreturnsIBMstockJan1926Dec1997&
CRSPvalue&equalweightedindices.txt
d. MonthlyStockReturnsof3M.txt
e. GrowthRateofU.S.QuarterlyGNP,1947
1991.txt
f.MonthlyreturnsoftheCRSPValueWeightedIndex.txt
g.SASCodeforMonthlyStockReturnsof3M.doc
h.SASCodeSalesGNPAutocorrelation.doc
i.AutocorrelationFunctionComputations.xls
Assignment4contd:
AppearingattheendofthePowerPointslides
(DueinSession12).
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17
9TimeSeriesModelIdentification
Readings:
Chapter4inR
Materials:
a. LinearModels_FOR_3.ppt
b. MonthlyreturnsoftheCRSPValueWeighted
Index.txt
c. Weeklyinterestratesfor1yrand3yrTreasury
billsJan,1962toSept1999.txt
d. SASCodeforChangeinInterestfor3yrtreasurybills.doc
Assignment5:
AppearingattheendofthePowerPointslides
(DueinSession12).
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10 MidTermExam
(SASProceduralProgramming:Sessions1to6)
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11 TimeSeriesNonStationaryModels
Readings:
Chapter4inR
Materials:
a. LinearModels_FOR_4.ppt
b. Arrivals.txt
c. Monthlystockpriceof3MFebruary1946December1997.xls
d. ChemicalViscosity.txt
e. DemandforPlasticContainers.txt
f. DailyS&PStockIndex,January1990December203.xls
g. SASCodeforChemicalViscosity.doc
h. SASCodeforDemandofPlasticContainers.doc
Assignment6:
AppearingattheendofthePowerPointslides
(DueinSession14).
MonthlyyieldsofMoody'sAAAbondsfrom
January1919toMarch2004.txt
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12 TimeSeriesSeasonalModels
Readings:
Chapter4inR
Materials:
a. LinearModels_FOR_5.ppt
b. MonthlyreturnsCRSPDecile1,5,10indicesJanuary1960
December2003.txt
c. QuarterlyEPSforJohnson&Johnson19601980.txt
d. Arrivals.txt
e. AirlinePassengers.xls
f. Data_Theairlinepassengerproblem.doc
g. SASCodeforInternationalAirlinePassengers.doc
h. SASCodeforTouristArrivals.doc
Assignment6contd:
AppearingattheendofthePowerPointslides
(DueinSession14).
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Quarterlygrossdomesticproductimplicitprice
deflator,1947to2004.txt
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13 TimeSeriesForecasting
Readings:
Chapter4inR
Materials:
a. LinearModels_FOR_6.ppt
b. QuarterlyEPSforJohnson&Johnson19601980.txt
c. WeeklyInterestRatesfor1yrand3yrTreasurybillsJan,1962
toSept1999.txt
d. SASCodeforInternationalAirlinePassengers.doc
Assignment7:
AppearingattheendofthePowerPointslides
(DueinSession14).
MonthlyLogreturnsofCRSPequalweightedindex
fromJanuary1962toDecember1999.txt
DemandForPlasticContainer.txt
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14 TimeSeriesCrossCorrelation&Intervention
Readings:
LinearModels_FOR_8.ppt
Materials:
a. LinearModels_FOR_8.ppt
b. Weeklyinterestratesfor1yrand3yrTreasurybillsJan,1962
toDecember1999.txt
c. SASCodeforRelationshipbetweeninterestratesof3yrand
1yrtreasurybills.doc
d. NaturalGasDemand.dat
e. SASCodeGasConsumption.doc
f. NaturalGasDemand1.dat
g. SASCodeGasConsumption1.doc
h. NaturalGasDemand2.dat
i. SASCodeGasConsumption2.doc
j. RetailInventoryEffectsonStockPrice.txt
k. SASCodeforRetailInventoryEffectonStockPrice.docx
l. SASCodeforRetailInventoryEffectonStockPrice_2.docx
m. MonthlyreturnsCRSPDecile1,5,10indicesJanuary1960
December2003.txt
n. SASCodeforJanuaryEffect.doc
Assignmentnotforgrading:
AppearingattheendofthePowerPointslides.
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SimplereturnsofmonthlyindicesofUSbondswith
30,20,10,5and1yearmaturities.txt
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15 FINAL:AteamprojectDue
Friday,March3,2017.