Introductory Econometrics Assignment Sample

Assignment

Question 1

Solution

Dependent Variable: RP_MS      
Method: Least Squares      
Date: 09/19/18   Time: 15:21      
Sample: 1998M01 2008M12      
Included observations: 132      
           
Variable Coefficient Std. Error t-Statistic Prob.    
           
C 0.006098 0.007747 0.787109 0.432651  
RP_MKT 1.318947 0.16079 8.202908 1.98E-13  
R-squared 0.341064     Mean dependent var 0.005881  
Adjusted R-squared 0.335995     S.D. dependent var 0.109224  
S.E. of regression 0.089003     Akaike info criterion -1.98527  
Sum squared resid 1.029792     Schwarz criterion -1.94159  
Log likelihood 133.0275     Hannan-Quinn criter. -1.96752  
F-statistic 67.28771     Durbin-Watson stat 2.34505  
Prob(F-statistic) 1.98E-13        
           

RP_MS= 0.006098 + 1.318947 RP_MKT                         

 S.E     (0.0077)    (0.1608)

R-squared = 0.341064

Some screenshots:

Introductory Econometrics Assignment Sample

Question 2

Solution

The RP_MKT has increased by 1% and so the RP_MS increases by 1.32 %

(as RP_MS= 0.006098 + 1.318947 RP_MKT                          )

Question 3

Solution

We assume as α = 0.05. Following hypothesis Ho: α’ = 0 & H1: α’ <> 0. We know that if p< α we reject the null hypothesis

t = (α – α’)/SE(α’) = (0.0061 -0)/0.0077= 0.72

α’ (t=0.72) does not lie in the rejection side and so null hypothesis is accepted.

Introductory Econometrics Assignment Sample

Question 4

Answer:

We assume as α = 0.05. Following hypothesis Ho: Bi = 0 & H1: Bj <> 0. We know that if p< α we reject the null hypothesis

t = (Bi– Bj)/SE(Bj) = (1.319 -0)/0.161= 8.2

Since t  is now in the rejection region so we reject the Null Hypothesis.

Introductory Econometrics Assignment Sample

Question 5

Answer:

We assume as α = 0.05. Following hypothesis Ho: Bi >1 & H1: Bj <= 1. We know that if p< α we reject the null hypothesis

t = (Bi– Bj)/SE(Bj) = (1.319 – 1)/0.161= 1.98

Since t is now in the rejection region so we reject the Null Hypothesis as shown in the below figure:

Question 6

Answer: The r squared  = 0.411. this can be interpreted as 34.11 % variations with respect to (Y) RP_MS over the mean value.  

Question 7

Answer:

Y=Bi + Bj+e

rj – rf = α’ + Bj (rm – rj)

  • rj  – 0.000025 = 0.0061 + 1.3159 (0.0215*7% – 0.000025)
  •  rj  – 0.000025 = 0.0061 + 0.029
  • rj  = 0.0347 = 3.47 %

Question 8

Answer:

Dependent Variable: RP_GE    
Method: Least Squares    
Date: 09/19/18   Time: 15:47    
Sample: 1998M01 2008M12    
Included observations: 132    
         
         
Variable Coefficient Std. Error t-Statistic Prob.  
         
         
C -0.00117 0.004759 -0.24519 0.806692
RP_MKT 0.89926 0.098782 9.103512 1.33E-15
         
         
R-squared 0.38931     Mean dependent var -0.00131
Adjusted R-squared 0.384612     S.D. dependent var 0.069702
S.E. of regression 0.054679     Akaike info criterion -2.95964
Sum squared resid 0.388672     Schwarz criterion -2.91596
Log likelihood 197.3363     Hannan-Quinn criter. -2.94189
F-statistic 82.87393     Durbin-Watson stat 2.239423
Prob(F-statistic) 1.33E-15      

RP_GE = -0.00117+ 0.89926 RP_MKT

 S.E: =        (0.0048)   (0.0988)

R-square = 0.38931

Dependent Variable: RP_GM    
Method: Least Squares    
Date: 09/19/18   Time: 15:51    
Sample: 1998M01 2008M12    
Included observations: 132    
         
         
Variable Coefficient Std. Error t-Statistic Prob.  
         
         
C -0.01155 0.009743 -1.18547 0.237992
RP_MKT 1.261411 0.202223 6.237709 5.77E-09
R-squared 0.230355     Mean dependent var -0.01176
Adjusted R-squared 0.224435     S.D. dependent var 0.127106
S.E. of regression 0.111937     Akaike info criterion -1.52672
Sum squared resid 1.628896     Schwarz criterion -1.48304
Log likelihood 102.7635     Hannan-Quinn criter. -1.50897
F-statistic 38.90901     Durbin-Watson stat 2.062907
Prob(F-statistic) 5.77E-09      
         

RP_GM = -0.0155 + 1.2614 RP_MKT

S.E           (0.0097)  (0.2022)

R-squared = 0.2303

Dependent Variable: RP_IBM    
Method: Least Squares    
Date: 09/19/18   Time: 15:53    
Sample: 1998M01 2008M12    
Included observations: 132    
         
         
Variable Coefficient Std. Error t-Statistic Prob.  
C 0.005851 0.006091 0.960574 0.33855
RP_MKT 1.188208 0.126433 9.397948 2.52E-16
         
R-squared 0.404548     Mean dependent var 0.005656
Adjusted R-squared 0.399967     S.D. dependent var 0.090347
S.E. of regression 0.069985     Akaike info criterion -2.46604
Sum squared resid 0.636722     Schwarz criterion -2.42237
Log likelihood 164.7589     Hannan-Quinn criter. -2.4483
F-statistic 88.32143     Durbin-Watson stat 2.171986
Prob(F-statistic) 2.52E-16      

RP_IBM = 0.0058 + 1.1882 RP_MKT

S.E        (0.0061)     (0.1264)

R-square = 0.4045

Dependent Variable: RP_DISNEY    
Method: Least Squares    
Date: 09/19/18   Time: 15:55    
Sample: 1998M01 2008M12    
Included observations: 132    
Variable Coefficient Std. Error t-Statistic Prob.  
C -0.00115 0.005956 -0.19298 0.847279
RP_MKT 0.897838 0.123627 7.262477 3.11E-11
R-squared 0.288621     Mean dependent var -0.0013
Adjusted R-squared 0.283149     S.D. dependent var 0.080824
S.E. of regression 0.068432     Akaike info criterion -2.51093
Sum squared resid 0.608775     Schwarz criterion -2.46725
Log likelihood 167.7212     Hannan-Quinn criter. -2.49318
F-statistic 52.74358     Durbin-Watson stat 2.426356
Prob(F-statistic) 3.11E-11      
         
         

RP_DISNEY = -0.00115 + 0.89783 RP_MKT
  S.E                (0.00595)      (0.1236)

R-square = 0.288621

Dependent Variable: RP_MEX    
Method: Least Squares    
Date: 09/19/18   Time: 15:57    
Sample: 1998M01 2008M12    
Included observations: 132    
Variable Coefficient Std. Error t-Statistic Prob.  
C 0.00788 0.004322 1.823133 0.070581
RP_MKT 0.413969 0.089713 4.614357 9.33E-06
         
         
R-squared 0.140736     Mean dependent var 0.007812
Adjusted R-squared 0.134126     S.D. dependent var 0.053367
S.E. of regression 0.049659     Akaike info criterion -3.15223
Sum squared resid 0.320585     Schwarz criterion -3.10855
Log likelihood 210.0471     Hannan-Quinn criter. -3.13448
F-statistic 21.29229     Durbin-Watson stat 2.348331
Prob(F-statistic) 9.33E-06      

RP_MEX = 0.00788 + 0.413969 RP_MKT

S.E              (0.0043)    (0.0897)

R-square = 0.140736

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