How to Download Eviews and Statistical Analysis Econometrics Assignment 1
It is assumed that you had installed Eviews on your computer.
The intention of this assignment is to teach you how to download your data file into Eviews and do some statistical analysis.
Look at Eviews Help and the Help files so to know how to import data.
Go to Yahoo finance and obtain data (closing prices) on five companies for the past five years. Also, obtain data on the S&P500 or another index of your choice. You can organize your data initially in an Excel spreadsheet and then import that into Eviews.
How to Download Eviews and Statistical Analysis
Import the data from the Excel file so to create an Eviews workfile. Import only the closing prices on each stock.
Once created, use the Eviews workfile to generate the returns on each stock.
Compute all the statistical output on each of your series. Provide the sample mean, standard deviation, skewness, kurtosis and map the histogram of each return.
Comment on your output for each stock. I suggest also to create a group so you can do the analysis in groups using Eviews.
How to Download Eviews and Statistical Analysis
Pick any two series and run a regression of one variable on the other. Provide the statistical output from your regression and comment on each of them.
Now pick three series and run a regression of one variable on the other two. Again provide the statistical output from your regression and comment.
Can you estimate the beta on each stock by running the market model (Note that the market model is Comment on your results?
It is assumed that you had done Assignment #1 to carry the following steps.
The intention of this assignment is to teach you how to test the assumptions of the residuals.
Pick any two series and run a regression of one variable on the other. Provide the statistical output from your regression and comment on each of them.
Test the residuals for the heteroscedasticity using the white’s test. Make sure to explain how the test is conducted. Use the two versions: with and without cross products.
How to Download Eviews and Statistical Analysis
Test the residuals for the first order autocorrelation by using the Durbin-Watson test statistic. Provide an explanation on how the test can be done and your results.
Can you test for higher-order autocorrelations using the LM test. Look at Eviews (or the powerpoint slides) for how to conduct the test.
What about the normality assumption of the residuals. Provide the explanation and results from the Jarque-Bera test.
? Pick any stability of coefficients tests provided in Eviews. Then conduct the test on your regression. You are supposed to provide an explanation of this test and your results.
Now pick three series and run a regression of one variable on the other two. Again provide all the statistical tests on the residuals (i.e., heteroscedasticity, autocorrelation, normality and stability of coefficients).
