Eviews Analysis 1

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EViews Analysis
Student’s Name
University
Course Number and Name
Instructor’s Name
Date
2
A. Estimate the following regression model by using MSFT stock price as dependent
variable and SP500 market index and time trend dummies as independent variables.
Dependent Variable: MSFT
Method: Least Squares
Date: 10/05/23 Time: 06:22
Sample: 2010M01 2019M12
Included observations: 120
Variable
Coefficient
Std. Error
t-Statistic
Prob.
C
SP500
T
T2
292.2176
0.032921
-3.912102
0.012071
13.68902
0.004816
0.158267
0.000485
21.34685
6.835247
-24.71836
24.90823
0.0000
0.0000
0.0000
0.0000
R-squared
Adjusted R-squared
S.E. of regression
Sum squared resid
Log likelihood
F-statistic
Prob(F-statistic)
0.979600
0.979072
5.206384
3144.347
-366.2248
1856.745
0.000000
Mean dependent var
S.D. dependent var
Akaike info criterion
Schwarz criterion
Hannan-Quinn criter.
Durbin-Watson stat
58.02500
35.98945
6.170413
6.263330
6.208147
0.230332
B. Use the full sample and report the estimation output and residual graph from EViews/R
program. MSFTt = b0 + b1 SP500t + b3 Time + b4 Time2 + et B.
25
20
15
10
5
0
-5
-10
-15
10
11
12
13
14
15
MSFT Residuals
16
17
18
19
3
C. Discuss important statistics in the estimation output above and the characteristics of
residual distribution.
Model Specification:
Dependent Variable (Y) is MSFT Stock Price (MSFTt). Independent Variables (X) include
SP500t: S&P 500 Market Index and Time as independent variables. T2 (Time squared, to take
i …
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