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    4 5935800856413736668

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    This worksheet provides questions for students to answer about multiple chapters covering topics in financial econometrics including multiple linear regression, univariate time series analysis using ARIMA models, multivariate time series analysis using VAR models, and panel data modeling. Students are asked to interpret results, test for issues like autocorrelation and heteroskedasticity, and understand concepts such as deseasonalizing, granger causality, impulse response functions, and variance decomposition from provided output.

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    4 5935800856413736668

    Uploaded by

    Weldu Gebru
    14 views10 pages
    This worksheet provides questions for students to answer about multiple chapters covering topics in financial econometrics including multiple linear regression, univariate time series analysis using ARIMA models, multivariate time series analysis using VAR models, and panel data modeling. Students are asked to interpret results, test for issues like autocorrelation and heteroskedasticity, and understand concepts such as deseasonalizing, granger causality, impulse response functions, and variance decomposition from provided output.

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    This worksheet provides questions for students to answer about multiple chapters covering topics in financial econometrics including multiple linear regression, univariate time series analysis using ARIMA models, multivariate time series analysis using VAR models, and panel data modeling. Students are asked to interpret results, test for issues like autocorrelation and heteroskedasticity, and understand concepts such as deseasonalizing, granger causality, impulse response functions, and variance decomposition from provided output.

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    © All Rights Reserved
    Download as DOCX, PDF, TXT or read online from Scribd
    Download as docx, pdf, or txt
    14 views10 pages

    4 5935800856413736668

    Uploaded by

    Weldu Gebru
    This worksheet provides questions for students to answer about multiple chapters covering topics in financial econometrics including multiple linear regression, univariate time series analysis using ARIMA models, multivariate time series analysis using VAR models, and panel data modeling. Students are asked to interpret results, test for issues like autocorrelation and heteroskedasticity, and understand concepts such as deseasonalizing, granger causality, impulse response functions, and variance decomposition from provided output.

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    Yardstick international college

    Worksheet for the course financial econometrics


    First year accounting and finance MA students

    Chapter three (multiple linear regression) and chapter four (diagnostics testing)

    Instruction: based on the following results please answer to the point the following questions

    Multiple linear regression

    1. How many variables becomes statistically significant? List them

    2. Identify the sign of all statistically significant variables?

    3. At what significance level the variables becomes significant?

    4. At what confidence level the variables become significance?

    5. Interpret the resulting R square

    F-test

    6. Interpret the following f-test result


    Heteroskedasticity test

    7. Is there heteroskedasticity in the data? How do you know?

    Autocorrelation test

    8. Is there an autocorrelation problem in the data? How do you know?


    Normality test

    9. Does the residuals normally distributed or not? How do you know?

    Multicollinerity test

    10. Is there a multicollinearity problem among the explanatory variables? How do you know?
    Chapter five (univariate forecasting/ARIMA model)

    Instruction: interpret the steps in forecasting using ARIMA model from the following table.

    ti foreca
    ye qua ma( yt/ s- qua deseasonalize tren
    m yt cma st
    ar rter 4) cma index rter d (yt/s-index) d (t)
    e (s*t))
    ye 0.862
    19
    1 ar I 38306 I 2271.612316
    59
    1 9
    25 1.130
    2 II II 2295.959821
    95 24626
    236 239 1.064 1.070
    25
    3 III 6.2 9.12 55478 63000 III 2385.511327
    54
    5 5 6 3
    247 0.951 0.938
    23 243
    4 IV 7.37 41026 00943 IV 2512.767903
    57 2
    5 3 5
    ye 252 0.867 0.862
    22 256
    5 ar I 2.7 03736 38306 I 2576.581198
    22 2.75
    2 5 2 9
    260 1.130
    29 261 1.130
    6 II 2.7 19390 II 2617.128767
    58 7.25 24626
    5 6
    263 265 1.082 1.070
    28
    7 III 1.7 5.62 23111 63000 III 2684.400766
    74
    5 5 3 3
    0.916 0.938
    24 267 269
    8 IV 09557 00943 IV 2636.434037
    73 9.5 9.5
    3 5
    ye 0.880 0.862
    24 271 274
    9 ar I 65693 38306 I 2798.0605
    13 9.5 0
    3 4 9
    279 1.115
    1 31 276 1.130
    II 5.87 21437 II 2758.690837
    0 18 0.5 24626
    5 8
    283 1.064 1.070
    1 30 285
    III 1.2 47091 63000 III 2837.581603
    1 38 4
    5 8 3
    287 0.938
    1 27 292 0.943
    IV 6.7 00943 IV 2938.136759
    2 56 1.75 2703
    5 5
    ye 296 301 0.861 0.862
    1 25
    ar I 6.7 1.37 73259 38306 I 3009.103604
    3 95
    4 5 5 7 9
    1.125
    1 34 305 309 1.130
    II 38424 II 3077.205494
    4 78 6 0.5 24626
    2
    313 1.081 1.070
    1 33 312
    III 9.87 25323 63000 III 3171.030132
    5 95 5
    5 5 3
    1 IV 30 315 319 0.949 0.938 IV 3232.37687
    4.7 3.87 31705 00943
    6 32
    5 5 2 5
    ye 0.834 0.862
    1 27 323 325
    ar I 30679 38306 I 3147.093326
    7 14 3 3
    5 4 9
    329 1.151
    1 37 327 1.130
    II 1.87 62331 II 3354.136293
    8 91 3 24626
    5 5
    331 1.060 1.070
    1 35 335
    III 0.7 63996 63000 III 3320.474851
    9 55 1.75
    5 4 3
    339 0.929 0.938
    2 31 342
    IV 2.7 95398 00943 IV 3393.356061
    0 83 2.75
    5 4 5
    ye 345 350 0.868 0.862
    2 30
    ar I 2.7 3.87 18165 38306 I 3527.434745
    1 42
    6 5 5 6 9
    1.128
    2 40 355 357 1.130
    II 81545 II 3566.479398
    2 31 5 1 24626
    8
    1.070
    2 39 358
    III 63000 III 3702.492914
    3 64 7
    3
    0.938
    2 33
    IV 00943 IV 3529.815243
    4 11
    5

    11. Why we calculate centered moving average (CMA) in the above table?

    12. Why we divide yt by cma in the above table?

    13. What is the importance of S-index?

    14. What is the importance of deseasonalizing?

    Chapter six (multivariate time series/VAR modelling)

    Instruction: interpret the following VAR results?

    15. What is the optimum lag according to schwarz information criteria?


    16. Is there an autocorrelation problem at the selected lag? How do you know?

    17. Interpret all the following granger causality tests


    18. Interpret the following impulse response functions?
    19. Interpret the following variance decomposition results?
    Chapter seven (panel data modelling)

    20. Interpret the following elasticities obtained from mixed-effect panel data model of trade.

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