You estimate the following model: excess returnt= a +ßexcess return on the markett + €t where excess return, is the difference between return on asset A and the risk-free rate, excess return on the market is the difference between return on the market portfolio and the risk-free rate, and et is a random error term. Data are for 174 months. You estimate the model via OLS; results are reported in Table 1. Dolfin and S.Zhang (King's Business Scho Question 1 (cont'nd) Variable C Excess_return_m M.Sc. Banking and Finance Table 1: OLS estimates using 174 observations Dependent variable: excess return on asset A R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) Y = -0.85 +1.15X+ Place text box Coefficient Std. Error t-Statistic -0.850664 1.195838 1.148796 0.339127 0.158333 Mean dependent var 0.144535 S.D. dependent var 9.474063 Akaike info criterion 5475.230 Schwarz criterion -230.0361 Hannan-Quinn criter. 11.47520 Durbin-Watson stat 0.001240 Prob. -0.711354 0.4796 3.387506 0.0012 -0.604042 10.24319 7.366224 7.434260 7.392983 2.036330 E Week 4 2/ You want to evaluate whether your model is affected by a problem of first order serial correlation. Which statistics do you take into consideration among those in the estimation output? Comment. 59
You estimate the following model: excess returnt= a +ßexcess return on the markett + €t where excess return, is the difference between return on asset A and the risk-free rate, excess return on the market is the difference between return on the market portfolio and the risk-free rate, and et is a random error term. Data are for 174 months. You estimate the model via OLS; results are reported in Table 1. Dolfin and S.Zhang (King's Business Scho Question 1 (cont'nd) Variable C Excess_return_m M.Sc. Banking and Finance Table 1: OLS estimates using 174 observations Dependent variable: excess return on asset A R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) Y = -0.85 +1.15X+ Place text box Coefficient Std. Error t-Statistic -0.850664 1.195838 1.148796 0.339127 0.158333 Mean dependent var 0.144535 S.D. dependent var 9.474063 Akaike info criterion 5475.230 Schwarz criterion -230.0361 Hannan-Quinn criter. 11.47520 Durbin-Watson stat 0.001240 Prob. -0.711354 0.4796 3.387506 0.0012 -0.604042 10.24319 7.366224 7.434260 7.392983 2.036330 E Week 4 2/ You want to evaluate whether your model is affected by a problem of first order serial correlation. Which statistics do you take into consideration among those in the estimation output? Comment. 59
Linear Algebra: A Modern Introduction
4th Edition
ISBN:9781285463247
Author:David Poole
Publisher:David Poole
Chapter7: Distance And Approximation
Section7.3: Least Squares Approximation
Problem 31EQ
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Question
Transcribed Image Text:You estimate the following model:
excess returnt = a + ßexcess return on the markett + €t
where excess return is the difference between return on asset A and the
risk-free rate, excess return on the market is the difference between
return on the market portfolio and the risk-free rate, and et is a random
error term. Data are for 174 months. You estimate the model via OLS;
results are reported in Table 1.
M.Dolfin and S.Zhang (King's Business Scho
Question 1 (cont'nd)
Variable
C
Excess_return_m
M.Sc. Banking and Finance
Table 1: OLS estimates using 174 observations
Dependent variable: excess return on asset A
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
Y = -0.85 +1.15x+
Place text box
Coefficient Std. Error t-Statistic
-0.850664 1.195838 -0.711354
1.148796 0.339127 3.387506
0.158333 Mean dependent var
0.144535 S.D. dependent var
9.474063 Akaike info criterion
5475.230 Schwarz criterion
-230.0361 Hannan-Quinn criter.
11.47520 Durbin-Watson stat
0.001240
Prob.
0.4796
0.0012
-0.604042
10.24319
7.366224
7.434260
7.392983
2.036330
Week 4
S92
2/6
You want to evaluate whether your model is affected by a problem of first
order serial correlation. Which statistics do you take into consideration
among those in the estimation output? Comment.
2
592
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