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Eviews Lab Activity Sheet Session 3 DR Vasilis Pappas: 1. A Capm Example

This document provides instructions for analyzing financial data using EViews. It includes two examples: 1) Estimating the Capital Asset Pricing Model (CAPM) for Ford using stock return data for Ford and the S&P 500 from 2002-2013, and testing the regression residuals. 2) Running a regression of cocoa prices on coffee and lagged cocoa prices, and testing the residuals. The goal is to help students learn how to specify and test regressions using financial time series data in EViews.

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Ellie Marsh
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24 views

Eviews Lab Activity Sheet Session 3 DR Vasilis Pappas: 1. A Capm Example

This document provides instructions for analyzing financial data using EViews. It includes two examples: 1) Estimating the Capital Asset Pricing Model (CAPM) for Ford using stock return data for Ford and the S&P 500 from 2002-2013, and testing the regression residuals. 2) Running a regression of cocoa prices on coffee and lagged cocoa prices, and testing the residuals. The goal is to help students learn how to specify and test regressions using financial time series data in EViews.

Uploaded by

Ellie Marsh
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as DOC, PDF, TXT or read online on Scribd
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EViews Lab Activity Sheet

Session 3
Dr Vasilis Pappas

1. A CAPM Example
Load the workfile capm which contains monthly data over the period January 2002
April 2013 on a number of US companies, the S&P 500 (Market Portfolio) and the
annualised US 3-month Treasury bill (Risk Free Rate).

Calculate the logarithmic returns for Ford

Calculate the logarithmic returns for the Market Portfolio and the Risk free rate. Note
that the risk free rate is given in an annualised format, while the data are in monthly
format.

Estimate the CAPM for Ford.

What are the estimated alpha and beta values? Any comments?

Test the residuals from the above regression for:

Normality (JB Test)

Autocorrelation (Breusch-Godfrey LM Test OR Durbin-Watson Statistic)

Heteroskedasticity (We have already seen the White Test)

2.

Stability (RESET Test, Chow Breakpoint, Chow Forecast)

Pcoccoftea data

The data show monthly prices of cocoa, coffee and tea.


Using the data above:

Run the following regression:


log(pcocoa) c log(pcoffee) log(pcoffee(-1)) lpcocoa(-1 to -3)

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where lpcocoa = log(pcocoa)

Test the residuals from the above regression for


Normality (JB Test)
Autocorrelation (Breusch-Godfrey LM Test)
Heteroskedasticity (We have already seen the White Test)
Stability (RESET Test, Chow Breakpoint, Chow Forecast)

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