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Linear Econometrics代写 Finance代写

2023-06-02 14:22 星期五 所属: 经济学代写 浏览:441

BU.232.620 (Linear Econometrics for Finance)

Linear Econometrics代写  Suppose we only change the unit of xi to percentage points, i.e., the market return xi will be 5 for the 5% monthly return.

Homework 2  Linear Econometrics代写

1.For the simple linear regression (SLR) model yi = β0 + β1xi + ui , with yi as the IBM stock return and xi as the market return (CAPM) that are both in original units, e.g.,0.05 means 5% monthly return.

  •  Suppose we only change the unit of xto percentage points, i.e., the market return xi will be 5 for the 5% monthly return. Does this change the values of β0 , and β1? If so, by how much?
  •  Suppose we only change the unit of yi to percentage points, i.e., the IBM stock return yi will be 5 for the 5% monthly return. Does this change the values of β0,and β1? If so, by how much?
  •  Do the two changes of units above make prove it. R2 di§erent? Use the deffnition of Rto prove it.

 

2.For the SLR model yi = 1xi + ui , i.e., regrssion without intercept,  Linear Econometrics代写

Use the OLS principal to derive the OLS estimator of βfor this model.

Compare the OLS estimator for this regression with that for the regression with intercept. Under what conditions are the two estimators equal to each other?

 

Linear Econometrics代写
Linear Econometrics代写

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