Econ326-assignment4n - SHAZAM OUTPUT SHAZAM FOR LINUX SITE NO 1234 Copyright(C 2000 by K.J White All Rights Reserved FOR USE ONLY BY SHAZAM USERS

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SHAZAM OUTPUT ********************************************************************* * SHAZAM - FOR LINUX SITE NO. 1234 * * * * ** Copyright (C) 2000 by K.J. White - All Rights Reserved ** * * * * FOR USE ONLY BY: SHAZAM USERS * * AT: ECONOMETRICS.COM * * * * * * If this does not describe you then you have stolen this copy * * and if you type anything except STOP or HELP SHAZAM you * * agree to send payment within 7 days for a software license * * * * * * * * FOR USE ON SINGLE COMPUTER ONLY - NO COPIES PERMITTED * ********************************************************************* Hello/Bonjour/Aloha/Howdy/G Day/Kia Ora/Konnichiwa/Buenos Dias/Nee Hau/Ciao Welcome to SHAZAM - Version 10.0 - JUL 2004 SYSTEM=LINUX PAR= 781 |_ SAMPLE 1 120 |_ * Load the monthly company returns |_ READ (ECONdata/Mstock/nke.txt) YEAR MONTH DAY return / SKIPLINE=2 UNIT 88 IS NOW ASSIGNED TO: ECONdata/Mstock/nke.txt 4 VARIABLES AND 120 OBSERVATIONS STARTING AT OBS 1 |_ * Load the market return |_ READ (ECONdata/Mstock/market.txt) YEAR MONTH DAY rm / SKIPLINE=1 UNIT 88 IS NOW ASSIGNED TO: ECONdata/Mstock/market.txt 4 VARIABLES AND 120 OBSERVATIONS STARTING AT OBS 1 |_ * Load the risk-free returns |_ READ (ECONdata/Mstock/rkfree.txt) YEAR MONTH rannual rf / SKIPLINE=1 UNIT 88 IS NOW ASSIGNED TO: ECONdata/Mstock/rkfree.txt 4 VARIABLES AND 120 OBSERVATIONS STARTING AT OBS 1 |_ * Calculate the risk premium for the stock |_ GENR risk=return-rf |_ * Calculate the risk premium on the market portfolio |_ GENR rmp=rm-rf |_ * Get a Chow test for structural change |_ OLS risk rmp / GF REQUIRED MEMORY IS PAR= 13 CURRENT PAR= 781 OLS ESTIMATION 120 OBSERVATIONS DEPENDENT VARIABLE= RISK ...NOTE. .SAMPLE RANGE SET TO: 1, 120 R-SQUARE = 0.1910 R-SQUARE ADJUSTED = 0.1842 VARIANCE OF THE ESTIMATE-SIGMA**2 = 0.89395E-02 STANDARD ERROR OF THE ESTIMATE-SIGMA = 0.94549E-01 SUM OF SQUARED ERRORS-SSE= 1.0549 MEAN OF DEPENDENT VARIABLE =
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This note was uploaded on 11/29/2010 for the course ECONOMICS 300-400 taught by Professor Varies during the Spring '10 term at Cornell University (Engineering School).

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Econ326-assignment4n - SHAZAM OUTPUT SHAZAM FOR LINUX SITE NO 1234 Copyright(C 2000 by K.J White All Rights Reserved FOR USE ONLY BY SHAZAM USERS

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