capm - * same for ncomp==11 * or reg y x if ncomp==10 test...

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use capm, clear u * 1 list return in 1/4 l * 2 sum return if ncomp==3 sum return if ncomp==3, detail s * 3 s * 4 gen jpremium=return-tbill gen mpremium=market-tbill list return in 121/124 if ncomp==2 l * 5 gen y=jpremium gen x=mpremium g * 6 reg y x if ncomp==10 reg y x if ncomp==11 r * 7 * report R^2 * which R^2 is larger? * * 8 * check the p-values: 0.000 (ncomp==10), so reject the null
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Unformatted text preview: * same for ncomp==11 * or reg y x if ncomp==10 test x=0 reg y x if ncomp==11 test x=0 * and check p-values * * 9 * check whether confidence intervals include 1 * or reg y x if ncomp==10 test x=1 reg y x if ncomp==11 test x=1 * and check the p-values: 0.1076 (ncomp==10), so do not reject the null * 0.0000 (ncomp==11), so reject the null...
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This note was uploaded on 04/04/2011 for the course ECON 401 taught by Professor Staff during the Spring '08 term at University of Washington.

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