Foundation Monograph No. 16. New York: John Wiley & Sons‚ Inc. Peirson‚ G‚ et al (2007)‚ ‘Chapter 7 Portfolio Theory and Asset Pricing’‚ Business Finance‚ 9th ed.‚ McGraw-Hill‚ Australia‚ p186-219 Sharpe‚ WF Verbeek‚ M.‚ (2008)‚ A Guide to Modern Econometrics‚ 3rd ed.‚ Chichester UK and New York‚ Wiley. Data Sources French‚ KR‚ (2009) ‘Country Portfolios formed on B/M‚ E/P‚ CE/P‚ and D/P [ex RBA‚ (2009) ‘Cash Rate - Overnight - Interbank - Securities and Interbank Overnight Cash Rate’ viewed 14th of
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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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ECO 1 chapter An overview of regression analysis Econometrics – literally ‚‚economic measurement” is the quantitative measurement and analysis of actual economic and business phenomena. Econometrics has three major uses: 1) Describing economic reality 2) Testing hypothesis about economic theory 3) Forecasting future economic activity The simplest use of econometrics is description. For most goods‚ the relationship between consumption and disposable income is expected
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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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ECONMET C32 : Final Paper For this final paper‚ I was tasked to look at the Thailand’s time series data to examine the relationship between the Current Account Balance in USD as the dependent variable‚ and the average exchange rate‚ USD to 1 Thai Baht and Gross Fixed Capital Formation in Constant 2000 USD as the independent variables. i.) Data of the Current Account Balance in USD (Y)‚ and the average exchange rate‚ USD to 1 Thai Baht (X1) and Gross Fixed Capital Formation in Constant 2000
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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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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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