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EViews Analysis

Student’s Name

University

Course Number and Name

Instructor’s Name

Date

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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

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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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