You are working as a junior econometrician for Shell OIL. Your boss, the Head of Risk management, has asked you to identify and estimate the best model for the returns on Heating Oil spot prices. You have data on the return of Heating Oil (HOILRET) and on the return on MARKET, SIZE, VALUE, MOMENTUM, and RISK, which are the Fama French risk factors discussed in the lectures. All the given data is in log returns.
The data is stationary with missing observations. The frequency of the data is weekly. Answer all the questions below. Note that for each of the subpoints below you are expected to paste and copy the EViews regression output and to write comments that clearly explain your findings and conclusions. In addition, do make sure to paste and copy any line of code you may have to use when generating variables with the @recode function or analog
1) Estimate a preliminary multiple linear regression model using all the explanatory variables given and comment on the validity of the model. Explain any preliminary step you may have to conduct to obtain the estimated model and interpret your findings. (5 marks)
2) You notice that in your data set there are some NA (missing values) in each of the series you are using. Use the EViews manual and perform log-linear interpolation on each of your variables before moving to question 3 below. (5 marks) 3) Conduct all the post estimation diagnostic tests that you deem appropriate to establish the validity of the results above. For each test, copy the EViews output in your answer (including the test equations) and draw conclusions clearly. (15 marks)
4) Using the results of point 3, estimate the multiple linear regression model that you have found to be the more appropriate for your dependent variable, dropping any non-significant explanatory variable you may have found. (15 marks)
5) Add any interaction terms you find appropriate to the model estimated. Comment on the appropriateness of the model you are proposing and interpret your findings. (10 marks)
6) Is there a last week of the month effect in the average dynamics of your dependent variable? (5 marks)
7) Does the impact of any of your regressors on your dependent variable change in the first week of August? Justify your answers and comment. (10 marks)
8) Test for the presence of structural breaks during the sample period of interest (5 marks)
9) identify and estimate the best in sample models to account for structural breaks (10 marks)
10) Identify and estimate the best forecasting model to account for structural breaks (10 marks) 11) Forecast the average of your dependent variable one day ahead and comment on your findings (5 marks) 12) Briefly discuss (five sentences max) advantages and disadvantages of your econometric approach an suggest potential improvements. (5 marks)
CS 340 Milestone One Guidelines and Rubric Overview: For this assignment, you will implement the fundamental operations of create, read, update,
Retail Transaction Programming Project Project Requirements: Develop a program to emulate a purchase transaction at a retail store. This
7COM1028 Secure Systems Programming Referral Coursework: Secure
Create a GUI program that:Accepts the following from a user:Item NameItem QuantityItem PriceAllows the user to create a file to store the sales receip
CS 340 Final Project Guidelines and Rubric Overview The final project will encompass developing a web service using a software stack and impleme
