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Financial Econometrics Practical

This document outlines an examination for a practical financial econometrics course. It consists of 8 questions worth a total of 100 marks. Candidates have 25 minutes to answer the questions, which involve loading and summarizing data, estimating regression models, and interpreting results. Questions require using data files to estimate relationships between economic variables and test hypotheses.

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Afza Farooq
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106 views2 pages

Financial Econometrics Practical

This document outlines an examination for a practical financial econometrics course. It consists of 8 questions worth a total of 100 marks. Candidates have 25 minutes to answer the questions, which involve loading and summarizing data, estimating regression models, and interpreting results. Questions require using data files to estimate relationships between economic variables and test hypotheses.

Uploaded by

Afza Farooq
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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DEPARTMENT OF COMMERCE AND FINANCE

FINANCIAL ECONOMETRICS | PRACTICAL

Prac cal work: 70 Viva Voce: 30

Time Allowed: 25 Mins

Q# Ques on Marks
1. Load the data in FT100.xlsx (which contains daily data for the FT100 index) into EViews or 5
Stata and derive the summary sta s cs; draw a simple line plot of the data.
2. The file salaries_01.wf1 contains data for senior officers from a number of UK firms. The 10
variable salary is the salary that each officer gets, measured in thousands of pounds. The
variable years_senior measures the number of years they have been senior officers, and
the variable years_comp measures the number of years they had worked for the company
at the me of the research.
(a) Calculate summary sta s cs for these three variables and discuss them.
(b) Es mate a simple regression that explains whether and how salary level is affected by
the number of years they have been senior officers. Es mate another regression that
explains whether and how salary level is affected by the number of years they have worked
for the same company. Report your results and comment on them. Which rela onship
seems to be more robust, and why?
3. Use the data in the file money_uk.wf1 to es mate the parameters α, β and γ in the 10
equa on below: ln(M/P)t = α + β ln(Yt) + γ Rt + ut (a) Briefly outline the theory behind the
aggregate demand for money. Relate your discussion to the specifica on of the equa on
given above. In par cular, explain first the meaning of the dependent variable and then the
interpreta on of β and γ . (b) Perform appropriate tests of significance on the es mated
parameters to inves gate each of the following proposi ons: (i) that the demand for
money increases with the level of real income; (ii) the demand for money is income-elas c;
and (iii) the demand for money is inversely related to the rate of interest.
4. The file manhours.xls contains the following variables: manhours: monthly manhours 10
needed to operate an establishment occup: average daily occupancy checkins: monthly
average number of check-ins service: weekly hours of service desk opera on comusearea:
common use area (in square feet) no_wings: number of building wings berthing:
opera onal berthing capacity no_rooms: number of rooms
The data describes the manpower needs for opera ng a US Navy bachelor officers’
quarters. It contains cross-sec onal observa ons for 25 establishments. (a) Es mate a
regression model that explains average daily occupancy (occup) from all available
explanatory variables. Do the results suggest mul collinearity? (b) Are some of the
explanatory variables collinear? How is this detected?
5. The file sleep.xls contains data for 706 individuals concerning sleeping habits and possible 10
determinants of sleeping me. Es mate the following regression equa on: sleep = b0 +
b1totwrk + b2educ + b3age + b4yngkid + b5male + u (6.41) (a) Check whether there is
evidence of heteroskedas city. (b) Is the es mated variance of u higher for men than
women? (c) Re-es mate the model, correc ng for heteroskedas city. Compare the results
obtained from this method with the simple OLS es ma on results that were ini ally
obtained.
6. Use the BWGHT.DAT data to es mate the following regression: log(bwght) = β0 + β1cigs + 5
β2log(faminc) + β3parity + β4male + β5white + u and discuss your results.
DEPARTMENT OF COMMERCE AND FINANCE
FINANCIAL ECONOMETRICS | PRACTICAL

7. 10

The data for this example are in the file simult.wf1 and are quarterly me series data from
1972q1 to 1998q3 for the UK economy. es mate an equa on by using TSLS,
8. panel_eu.wf1 10
Es mate and run diagnos c for Panel Data.

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