MATERIA: ECONOMETRIA FINANCIERA

TITULAR: DR. MANUEL DE JESUS GOMEZ ZALDIVAR

TUTOR: MTRO. ARTURO GARCIA MARTINEZ

INTEGRANTE: Andrs Emmanuel Rivera Nuez A01150768

Econometra Financiera. Tarea de la Semana 4. Captulo 5 del libro de Gujarati

Ejercicios: 1. Pregunta 5.1 a) TRUE, The t test is based on variables with a normal distribution. Since the estimators of B1 and B2 are linear combinations of the error ui, which is assumed to be normally distributed under CLRM, these estimators are also normally distributed. d) TRUE, The P value is the smallest level of significance at which the null hypothesis can be rejected. The terms level of significance and size of the test are synonymous. f) FALSE, All we can say is that the data at hand does not permit us to reject the null hypothesis. g) FALSE, A larger r^2 may be counterbalanced by a larger sumatoria of xi^2. It is only if the latter is held constant, the statement can be true. 2. Pregunta 5.5 Considere para tomar la decisin en los incisos a) y b) de este ejercicio que = 1.6513 cuando el nivel de significancia es 5% y los grados de libertad son 238. (a) Using the t test to test the hypothesis that the true slope coefficient is one. That is obtain: t = B^2 1 / se (B^2) t = 1.0598 1 / 0.0728 t = 0.821 For 238 df this t value is not significant even at a = 10%. The conclusion is that over the sample period IBM was not a volatile security. (b) Since t = 0.7264 / 0.3001 = 2.4205 which is significant at the two percent level of significance. But it has little economic meaning. Literally interpreted, the intercept value of about 0.73 means that even if the market portfolio has zero return, the securitys return is 0.73 percent. 3. Pregunta 5.12 Para tomar la decisin en el inciso c) tenga en cuenta que el valor crtico de la distribucin t con 23 grados de libertad a un nivel de significancia del 5% es 1.7139. (a) The plot shows that the inflation rates in the two countries move together.

(b&c)
Variable C ICAN R-squared Adjusted Rsquared S.E. Of regression Sum squared resid Log likelihood Durbin-Watson stat Coefficient 6.251664 0.940932 Std. Error 1.95638 0.01757 t-Statistic 3.195526 53.55261 Prob 0.004 0.0000 104.756 36.56767 5.321561 5.419071 2867.882 0.000000

0.992044 Mean dependent var 0.991698 3.331867 255.3308 -64.51951 S.D. Dependet var Akaike info criterion Schwarz cfriterion F-Statistic

0.264558 Prob (F-Statistic)

As this output shows, the relationship between the two variables is positive. One can easily reject the null hypothesis that there is no relationship between the two variables, as the t value obtained under that hypothesis is 53.55, and the p value of obtaining such a t value is practically zero. Although the two inflation rates are positively related, we cannot infer causality from this finding, for it must be inferred from some underlying economic theory. Remember that regression does not necessarily imply causation. NOTA: NO SE AADE ARCHIVO EN EXCEL, SOLO SE AADEN LOS RESULTADOS OBTENIDOS, SI SE REQUIEREN, NOTIFICAR PARA HACERLO LLEGAR EL EXCEL.