Learning Goal: I’m working on a economics project and need the explanation and answer to help me learn.
Econometrics: Coursework 1
Instructions: This coursework assignment (research report) must be submitted electronically by the due date and time. When submitting your coursework assignment, you must provide one Microsoft Word or PDF file containing your written/text answers to the questions. In your answers to the questions below, you should present your EViews equation estimation output as it would be in published academic papers. (Examine the Fama-French (FF) 5- factor model paper, uploaded in the coursework folder, to understand how to present the estimation outputs in tables. The approaches to presentation are fairly standard.) Raw EViews output should be included only in an Appendix.
The report should not exceed 2000 words in length. It should have a clear introduction and a conclusion. You should ensure that you have fully acknowledged the work of others in the body of the text and include a full list of references for all articles, books and other sources (e.g. Internet sites) that have been cited in the assignment. Coursework will be processed with plagiarism detection software. Marks will be awarded for writing style and graphical presentation as well as content.
The data required for the coursework is contained in the excel file `Coursework_1.xls in the coursework.. The tab Factors contains monthly factor data from July 1963 to September 2022 that we will use to estimate three standard asset pricing models: the classical CAPM, the FF 3-factor model three model and the FF 5-factor model. The variables in the Excel file are: `RF’ containing the risk-free rate, `Mkt_RF’ containing the excess return on the market portfolio (the single factor in the classical CAPM model), `SMB’ containing the small-minus-big factor from the FF 3- and FF 5-factor model, `HML’ containing the high-minus-low factor from the FF 3- and FF 5-factor model, RMW contains the robust minus weak factor from the FF 5-factor model, CMA contains the conservative minus aggressive factor from the FF 5-factor model. The tab portfolio contains the returns for the utility sector portfolio.
Detailed questions are attached.