ECON240 Financial Modelling
Spring 2013
Tutorial 1 Answers
Tutorial Due: In week 2 prior to the commencement of the assigned tutorial class
Questions 1
The following table presents the monthly time series data for excess stock returns of ABC
Company (yt)
Item
Wages paid to labour
Consumption expenditure
Profit, interest and rents
Investment
Government expenditure
Net exports
Billions of dollars
800
1,000
340
150
290
34
Quantities
Apples
Oranges
2011
60
80
2012
160
220
Prices
Apples
Oranges
2011
$0.50
$0.2
Chapter 7
Multivariate models
Introductory Econometrics for Finance Chris Brooks 2013
1
Simultaneous Equations Models
All the models we have looked at thus far have been single equations models of the
form
y = X + u
All of the variables contained in the
Determination of National Output
Learning Outcome
Explain the components of the Keynesian
Theory.
Explain the concept planned aggregare
expenditure.
Explain the income-consumption and
income-saving relationship.
Illustrate the consumption and saving
National Income
Learning Outcomes
Describe the contents of macroeconomics.
Define GDP.
Explain the purpose of calculating GDP
Explain the expenditure and income approach
of GDP calculation.
Differentiate between GDP and GNP
Identify the difference between
Topic 8: Inflation
Learning Objectives
Define Inflation
Define Consumer Price Index
Explain how the CPI is
constructed
Explain how inflation is measured
using the weighted Price Index
Explain the types of inflation
Inflation
Inflation is a sustained
up
1 The Foundations of
Economics
What is economics?
It is the study of the efficient allocation of
_ in the production of
goods & services to provide for
_, to achieve maximum
satisfaction.
Economic Resources
(Factors of Production)
Land
includes all _ (r
ECON240 Financial Modelling
Spring 2013
In Class Tutorial Activity 1 for Week 11
(Week starting Monday 14 October 2013)
Data description:
Use the data file macro_us.wf1 that you created in week 2 in Tutorial 1.
If you have not generated your variables int
ECON240 Financial Modelling
Spring 2013
In Class Tutorial Activity 1 for Week 8
(Week starting Monday 16 September 2013)
Data description:
Use the data file macro_us.wf1 that you created in week 2 in Tutorial 1.
If you have not generated your variables in
ECON240 Financial Modelling
Spring 2013
In Class Tutorial Activity 1 for Week 6
(Week starting Monday 02 September 2013)
Data description:
Use the data file macro_us.wf1 that you created in week 2 in Tutorial 1. If you have not
generated your variables in
ECON240 Financial Modelling
Spring 2013
In Class Tutorial Activity 1 for Week 3
(Week starting Monday 12 August 2013)
Note for students:
To perform Tutorial 2 (Week 3) Activity 1 you need your macro_us.wf1 data file. If you have not
generated your variabl
ECON240 Financial Modelling
Spring 2013
In Class Tutorial Activity 1 for Week 11
(Week starting Monday 14 October 2013)
Data description:
Use the data file macro_us.wf1 that you created in week 2 in Tutorial 1.
If you have not generated your variables int
ECON240 Financial Modelling
Spring 2013
In Class Tutorial Activity 1 for Week 5
(Week starting Monday 26 August 2013)
Data description:
Use the data file macro_us.wf1 that you created in week 2 in Tutorial 1. If you have not
generated your variables into
Chapter 5
Classical linear regression model assumptions
and diagnostics
Introductory Econometrics for Finance Chris Brooks 2013
1
Violation of the Assumptions of the CLRM
Recall that we assumed of the CLRM disturbance terms:
1. E(ut) = 0
2. Var(ut) = 2 <
ECON 240 Spring 2015
Please prepare prior to class and hand in to your tutor at the beginning of class. Make sure your
name and student number is clearly stated on your submission. The submission may be typed or
(neatly) hand written.
Tutorial preparation
Chapter 3
A brief overview of the
classical linear regression model
Introductory Econometrics for Finance Chris Brooks 2013
1
Regression
Regression is probably the single most important tool at the
econometricians disposal.
But what is regression analysis
Week 11 Tutorial
Read the article on The international transmission of bond market movements by Mills and
Mills
(1991).
Answer the following questions:
1. What is the research question?
The purpose of this paper is to investigate the relationships existin
Week 9 Tutorial Prep Assessment Task
Read the article The efficient market hypothesis and its critics by Burton Malkiel (2003).
Answer the following questions:
1. What is meant by an efficient security market? There are various views that are put
forward
The relationship of the growth rate between GDP and the three major industries in China
The growth rate of GDP and various industries from 1991 to 2010 (Unit:%)
Year
The GDP growth rate
Y
First
rate
X1
industry
growth
1991
1992
1993
1994
1995
1996
1997
19
ECON 240
Please prepare prior to class and hand in to your tutor at the beginning of class. Make sure your
name and student number is clearly stated on your submission. The submission may be typed or
(neatly) hand written.
Tutorial preparation question -
Chapter 4
Further development and analysis of the
classical linear regression model
Introductory Econometrics for Finance Chris Brooks 2013
1
Generalising the Simple Model to
Multiple Linear Regression
Before, we have used the model
yt xt ut t = 1,2,.,T
Chapter 1
Introduction
Introductory Econometrics for Finance Chris Brooks 2014 1
The Nature and Purpose of Econometrics
What is Econometrics?
Literal meaning is measurement in economics.
Definition of financial econometrics:
The application of statistical
ECON240 Financial Modelling
Spring Session 2014
Week 2 Tutorial 1 Activity
Tutor introduction (10 mins)
Briefly discuss some concepts of the simple regression model (10 mins)
and the equation for the fitted line
(i)
(ii)
How are the appropriate values of
School of Accounting, Economics and Finance
ECON240: Financial Modelling
Subject Outline
6 credit points
Subject Information
Spring, 2015
Wollongong
On Campus
Lecture Information:
Thursdays, 13:30 - 15:30, 25-107
Pre-requisites: COMM121 or STAT131 or STAT
1. When money is put into the stock market, the goal is to generate a return on
the capital invested. Many investors try not only to make a profitable return, but
also to outperform, or beat, the market. However, market efficiency - championed
in the effi
Summarise your understanding of financial modelling up
until this point. Outline the main hypothesis tests you need to
conduct when estimating an econometric model and their
purpose.
AnswerThe econometric models is that the quantitative relation equation
ECON240 Tutorial 9 Work
Describe the steps to be taken prior to modelling any time series data.
Prior to modelling any time series data, several concepts and conditions must be tested in order
to determine the correct model to be used. Some of these inclu