Prepare answers for the following questions and submit the word and Eviews workfile documents including your answers to the IHU e-learning platform. Select one monthly adjusted close stock price series from Assignment 01 and answer the following: 1. Using the data F-F_Research_Data_Factors.txt estimate the Fama and French three factor model below and comment on your findings: (WE NEED TO GIVE YOU AN EQUATION THAT WE HAVE BEEN PROVIDED) 2. Are the residuals of the above regression correlated? Perform graphical method, the Durbin-Watson and the Breusch-Godfrey test for autocorrelation. Comment on your findings. 3. In the residuals of equation (1) perform two tests for heteroscedasticity: the Breusch-Pagan and White tests. What can you infer? 4. Run equation (1) using the HAC standard errors. Is there a difference compared to the ordinary OLS standard errors? What may you infer? 5. Is the model in equation 1 correctly specified? Perform the Ramsey RESET test and comment on your findings. 6. Estimate the following CAPM model: Using the CAPM model as the original model perform the Lagrange multiplier test to examine whether this model is misspecified (use equation 1 for the comparison)
repare answers for the following questions and submit the word and Eviews workfile documents including your answers to the IHU e-learning platform
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