Assignment# 01

Resaerch Techniques in Finance

1. Stationary:

ROA
.3

.2

.1

.0

-.1

-.2
25 50 75 100 125 150
LEV
7

0
25 50 75 100 125 150
 INST
.6

.5

.4

.3

.2

.1

.0
25 50 75 100 125 150
 NED
1.0

0.8

0.6

0.4

0.2

0.0
25 50 75 100 125 150
INSD
.9

.8

.7

.6

.5

.4

.3

.2

.1

.0
25 50 75 100 125 150
 S
5.0

4.5

4.0

3.5

3.0

2.5

2.0

1.5
25 50 75 100 125 150
BS
1.3

1.2

1.1

1.0

0.9

0.8
25 50 75 100 125 150

2. Multicollinearity:
ROA LEV NED INST INSD BS S
ROA 1.000000 -0.246603 -0.003025 -0.049165 -0.225217 0.242388 0.339364
LEV -0.246603 1.000000 0.044594 0.147705 -0.188392 -0.074022 0.136522
NED -0.003025 0.044594 1.000000 -0.276000 -0.245885 0.104384 0.017382
INST -0.049165 0.147705 -0.276000 1.000000 -0.238735 0.094776 0.132720
INSD -0.225217 -0.188392 -0.245885 -0.238735 1.000000 -0.344774 -0.460546
BS 0.242388 -0.074022 0.104384 0.094776 -0.344774 1.000000 0.397066
S 0.339364 0.136522 0.017382 0.132720 -0.460546 0.397066 1.000000

Variance Inflation Factors

Date: 07/27/19 Time: 14:45
Sample: 1 173
Included observations: 173

Coefficient Uncentered Centered

Variable Variance VIF VIF
 C 0.003707 149.6909 NA
LEV 2.09E-05 2.949118 1.089475
INST 0.002025 3.133503 1.233636
NED 0.000422 5.158107 1.242052
INSD 0.000685 2.756004 1.567786
S 8.42E-05 39.69624 1.421303
BS 0.003782 129.7002 1.282288

After Transformed:
Variance Inflation Factors
Date: 07/27/19 Time: 14:48
Sample: 1 173
Included observations: 173

Coefficient Uncentered Centered

Variable Variance VIF VIF

C 0.000337 13.62422 NA
LEV 2.09E-05 2.949118 1.089475
INST 0.002025 3.133503 1.233636
NED 0.000422 5.158107 1.242052
INSD 0.000685 2.756004 1.567786
S1 8.42E-05 1.421303 1.421303
BSC 0.003782 1.282288 1.282288

3. Heteroscedasticity: No Heteroscedasticity is found.

Heteroscedasticity Test: White

F-statistic 1.493704 Prob. F(27,145) 0.0697
Obs*R-squared 37.64685 Prob. Chi-Square(27) 0.0836
Scaled explained SS 54.02233 Prob. Chi-Square(27) 0.0015

Test Equation:
Dependent Variable: RESID^2
Method: Least Squares
Date: 07/27/19 Time: 14:53
Sample: 1 173
Included observations: 173

Variable Coefficient Std. Error t-Statistic Prob.

C 0.000638 0.005528 0.115424 0.9083

LEV^2 0.000817 0.000363 2.252470 0.0258
LEV*INSD -0.002278 0.004209 -0.541222 0.5892
LEV*INST -0.000522 0.005615 -0.092921 0.9261
LEV*NED 9.63E-06 0.002942 0.003273 0.9974
LEV*S1 0.001332 0.001156 1.151972 0.2512
LEV*BSC 0.011497 0.010165 1.131097 0.2599
LEV -0.002944 0.002694 -1.092501 0.2764
INSD^2 -0.005267 0.017652 -0.298366 0.7659
INSD*INST -0.071939 0.036653 -1.962707 0.0516
INSD*NED -0.000597 0.012574 -0.047442 0.9622
INSD*S1 -0.004054 0.006576 -0.616488 0.5385
INSD*BSC 0.001277 0.062252 0.020516 0.9837
INSD 0.014515 0.017893 0.811228 0.4186
INST^2 0.006011 0.040433 0.148664 0.8820
INST*NED -0.041739 0.023547 -1.772611 0.0784
INST*S1 -0.027587 0.011906 -2.317107 0.0219
INST*BSC -0.075311 0.085216 -0.883757 0.3783
INST 0.027399 0.025616 1.069579 0.2866
NED^2 -0.000134 0.009990 -0.013409 0.9893
NED*S1 0.002507 0.005544 0.452186 0.6518
 NED*BSC -0.037842 0.039140 -0.966834 0.3352
NED 0.009096 0.011526 0.789179 0.4313
S1^2 -0.000507 0.001865 -0.271791 0.7862
S1*BSC 0.009603 0.018761 0.511861 0.6095
S1 0.003442 0.004691 0.733735 0.4643
BSC^2 -0.107462 0.061977 -1.733900 0.0851
BSC 0.025948 0.033474 0.775150 0.4395

R-squared 0.217612 Mean dependent var 0.004111

Adjusted R-squared 0.071926 S.D. dependent var 0.007279
S.E. of regression 0.007012 Akaike info criterion -6.935196
Sum squared resid 0.007130 Schwarz criterion -6.424837
Log likelihood 627.8945 Hannan-Quinn criter. -6.728147
F-statistic 1.493704 Durbin-Watson stat 1.131107
Prob(F-statistic) 0.069696

4. Auto Correlation

Dependent Variable: ROA

Method: Least Squares
Date: 07/27/19 Time: 14:57
Sample (adjusted): 2 173
Included observations: 172 after adjustments
Convergence achieved after 7 iterations

Variable Coefficient Std. Error t-Statistic Prob.

C 0.142174 0.019385 7.334240 0.0000

LEV -0.023285 0.004945 -4.708643 0.0000
INST -0.047793 0.048341 -0.988673 0.3243
INSD -0.042295 0.029194 -1.448752 0.1493
NED -0.028227 0.019465 -1.450085 0.1489
S1 0.031556 0.011870 2.658462 0.0086
BSC 0.041851 0.073307 0.570905 0.5688
AR(1) 0.500689 0.072102 6.944213 0.0000

R-squared 0.401924 Mean dependent var 0.077119

Adjusted R-squared 0.376396 S.D. dependent var 0.073460
S.E. of regression 0.058010 Akaike info criterion -2.810994
Sum squared resid 0.551893 Schwarz criterion -2.664599
Log likelihood 249.7455 Hannan-Quinn criter. -2.751598
F-statistic 15.74466 Durbin-Watson stat 1.998788
Prob(F-statistic) 0.000000

Inverted AR Roots .50