1.

Null hypothesis: No autocorrelation in residuals

Since p value<0.05, we reject the null hypothesis and
confirm the existence of autocorrelation in residuals
log(s_p_price_index) c dividend d(log(cpi))

log(s_p_price_index) c log(dividend) d(log(cpi))

log(s_p_price_index) c dividend d(log(cpi)) AR(1)

log(s_p_price_index) c dividend d(log(cpi))
dividend(-1) dlog(cpi(-1)) log(s_p_price_index(-1))

Model Model Model Model

Model
1 II III V
IV
AIC -3.86 -4.01 -3.75 1.2 2.3
SIC
HC
RMSEA
Mean
Absolut
e

Yt = a +bxt +bxt-1+ZYt-1
 2. Null hypothesis: Variance is constant (presence of
Homoskedasticity)
BP test
Since p value>0.05, we fail to reject the null
hypothesis and confirm that residuals have constant
variance
3. No serious problem of Multicollinearity
a. VIF almost equal to 10
b. Correlation matrix (no correlation was significant
or higher than 0.5)

D(log(x)) = log x2- logx1

Log(D(X)) =log(X2-x1) Not possible

Y = A + BX
Log(Y) = A + BX
Relative change in Y/absolute change in x
Log(Y) =A + Blog(x)
Change in Y/Y
New=d(cpi)
New1=log(cpi)
New2=cpi+dividened
CPI DIVIDEND
11 .48
.44
10
.40
9 .36
.32
8 .28
.24
7
.20
6 .16
2000 2005 2010 2015 2000 2005 2010 2015

EARNINGS S_P_PRICE_INDEX
.8 12
.7
10
.6
.5 8

.4 6
.3
4
.2
.1 2
2000 2005 2010 2015 2000 2005 2010 2015