Computer Exercises C1.2 Use the data in BWGHT.RAW to answer this question. . summ Variable | Obs Mean Std. Dev. Min Max -------------+-------------------------------------------------------------------------------- faminc | 1388 29.02666 18.73928 .5 65 cigtax | 1388 19.55295 7.795598 2 38 cigprice | 1388 130.559 10.24448 103.8 152.5 bwght
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Econometrics II Homework assignment 3 Ultimate due date: Tuesday‚ April 23 at 18:55 Part 1: Mutual Funds 1. Posted to my.nes.ru are monthly returns for 9 mutual funds. Accidentally‚ I have forgotten to match the fund names to the correct return data for 7 of these 9 mutual funds. Please run regressions of each of the 9 funds on the Fama-French three-factor model and make an educated guess regarding which fund goes with which data. Explain the reasoning behind your guess. In the list “HW_FundsAndReturns
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“Econometrics of Event Studies” S. P Khotari and Jerold B. Warner Forthcoming in B. Espen Eckbo (ed.)‚ Handbook of Corporate Finance: Empirical Corporate Finance‚ Volume A (Handbooks in Finance Series‚ Elsevier/North-Holland)‚ Ch. 1‚ 2006 Econometrics of Event Studies S.P. Kothari Sloan School of Management‚ MIT Jerold B. Warner William E. Simon Graduate School of Business Administration University of Rochester May 19‚ 2006 Key words: Event study‚ abnormal returns‚ short-horizon
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2) Basic Ideas of Linear Regression: The Two-Variable Model In this chapter we introduced some fundamental ideas of regression analysis. Starting with the key concept of the population regression function (PRF)‚ we developed the concept of linear PRF. This book is primarily concerned with linear PRFs‚ that is‚ regressions that are linear in the parameters regardless of whether or not they are linear in the variables. We then introduced the idea of the stochastic PRF and discussed in detail the nature
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Time series analysis (Session – I) Commands and syntax for data analysis using STATA 1. Open and Run the STATA application • Click on the Data on the task bar and open Data editor • Copy the data from Excel sheet and paste it on the data editor • Preserve the data • Close Data Editor 2. Type “describe” in the command space- Software will show the description of the data set. 3. Graphs i) To Draw a scatter plot of variables
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Expectations‚ Variances & Covariances The Rules of Summation n å xi ¼ x1 þ x2 þ Á Á Á þ xn covðX; YÞ ¼ E½ðXÀE½XÞðYÀE½YÞ i¼1 n ¼ å å ½x À EðXÞ½ y À EðYÞ f ðx; yÞ å a ¼ na x y i¼1 n covðX;YÞ r ¼ pffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffi varðXÞvarðYÞ n å axi ¼ a å xi i¼1 n i¼1 n n i¼1 i¼1 E(c1X þ c2Y ) ¼ c1E(X ) þ c2E(Y ) E(X þ Y ) ¼ E(X ) þ E(Y ) å ðxi þ yi Þ ¼ å xi þ å yi i¼1 n n n i¼1 i¼1 å ðaxi þ byi Þ ¼ a å xi þ b å yi i¼1 n var(aX þ bY þ cZ ) ¼ a2var(X) þ b2var(Y ) þ c2var(Z
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Luc Bauwens . Winfried Pohlmeier David Veredas (Eds.) High Frequency Financial Econometrics Recent Developments With 57 Figures and 64 Tables Physica-Verlag A Springer Company High Frequency Financial Econometrics Recent Developments Prof. Winfried Pohlmeier Department of Economics University of Konstanz 78457 Konstanz Germany winfried.pohlmeier@uni-konstanz.de Prof. Luc Bauwens CORE Voie du Roman Pays 1348 Louvain-la-Neuve Belgium bauwens@ucl.ac.be Prof. David
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Table of Contents Contents PROJECT: Determinants of Extramarital Affairs Introduction Wiederman (1997) emphasises the fact that 22.7% of married men and 11.6% of women have had extramarital sex during their marriage. Thompson (1993) identifies three determinants of extramarital affairs‚ being; gender‚ race and age. It is believed that males‚ African Americans and newly married couples‚ are most prone to extramarital affairs. Furthermore‚ Prins et.al (1999)‚ suggests that among men
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ECON2206/ECON3290: Introductory Econometrics Session 1‚ 2009 Course Project Solution Guide Each question is worth 1 mark - and there are 20 questions in total. Answers should be clear and legible. Note Instruction (d) on the Questions: “when performing statistical tests‚ to always state the null and alternative hypotheses‚ the test statistic and it’s distribution under the null hypothesis‚ the level of significance and the conclusion of the test.” Marks are not awarded when this instruction is not
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Question 1: Run the regression Report your answer in the format of equation 5.8 (Chapter 5‚ p. 152) in the textbook including and the standard error of the regression (SER). Interpret the estimated slope parameter for LOT. In the interpretation‚ please note that PRICE is measured in thousands of dollars and LOT is measured in acres. Model 1: OLS estimates using the 832 observations 1-832 Dependent variable: price VARIABLE COEFFICIENT STDERROR T STAT P-VALUE
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