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BU.232.620 (Limear Ecomometrics for Finance)

Homework 2

金融线性计量经济学作业代写  Supposewe only change the unit of xi to percentage points, i.e., the market return xi  will be 5 for the 5% monthly return.

1.Forthe simple linear regression (SLR) model yi =β₀+β1x_i＋ui,with y_i as the IBM stock return and xi as the market return (CAPM) that are both in original units, e.g., 0.05 means 5% monthly return.   金融线性计量经济学作业代写

• Supposewe only change the unit of x_i to percentage points, i.e., the market return x_i  will be 5 for the 5% monthly return.  Does this change the values of β₀,  and β1? If so, by how much?
• Suppose we only change the unit of y_ito percentage points, e., the IBM stock return y_i will be † for the †% monthly return. Does this change the values of β₀, and β₁? If so, by how much?    金融线性计量经济学作业代写

• Do the two changes of units above make R²prove it.different? Use the definition of R² to prove it.

2. For the SLR model y_i =β₁ x_i+ ui, i.e., regrssion without intercept,    金融线性计量经济学作业代写

• Use the OLS principal to derive the OLS estimator of β₁ for this model.
• Compare the OLS estimator for this regression with that for the regression with intercept. Under what conditions are the two estimators equal to each other?

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