capm2 - l * 5 gen y=return-tbill gen x=market-tbill reg y x...

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use capm2, clear u * 1 summ date summ return * return includes missing variables * * 2 list date if return==. summ cpi if return==. s * 3 summ market /* we use market>.147 because the max value .148 may be rounded */ / summ return if ncomp==7 l * 4 egen minf=mean(rinf) egen moil=mean(roil) egen mind=mean(gind) gen surinf=rinf-minf gen suroil=roil-moil gen surind=gind-mind list surinf-surind in 1/4
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Unformatted text preview: l * 5 gen y=return-tbill gen x=market-tbill reg y x surinf-surind if ncomp==5 test surinf=suroil=surind=0 * let's say we are interested in significance level 5% test * the p-value is larger than .05 * we do not reject the null hypothesis that the coefficients of surprise variables are jointly zero * that means we do not want to include those variables in the model * * 6 * from the test result, we do not support APM...
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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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