# 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:

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.

Question 4

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.

Question 5

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

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

 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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