Problem Set #5: Constant Expected Return Model and Bootstrapping in R - Prof. Eric Zivot, Assignments of Economics

Download Problem Set #5: Constant Expected Return Model and Bootstrapping in R - Prof. Eric Zivot and more Assignments Economics in PDF only on Docsity! Eric Zivot Econ 424 Fall 2008 Problem Set #5 Constant Expected Return Model and Bootstrapping Due: Wednesday 10/29/08 at the beginning of class Readings • My lecture notes on the constant expected return model and bootstrapping • Bootstrap methods and permutation tests, by Tim Hesterberg (pdf file on class webpage) • Ruppert, chapter 2, sections 18 and 19. Programs and Data • 424lab4returns.csv Return data for lab4 • lab4.r R Script file hints for lab • cerModel.csv Data used in cerModelExamples.r • cerModelExamples.r R Script file used for class examples • bootStrap.r R Script file used for class examples Instructions In this lab you will use R to • Estimate parameters of the constant expected return (CER) model, compute standard errors and confidence intervals • Perform bootstrapping of CER model estimates Exercises The following questions require R. On the class web page are the script files lab5.r, cerModelExamples.r and bootstrap.r. The former contains hints for completing the assignment, and the latter files contains the code for the doing the examples from class. As in lab 4, copy and paste all statistical results and graphs into a MS Word document while you work, and add any comments and answer all questions in this document. Please do not turn in the assignment without comments! Continuously compounded monthly return data on Vanguard long term bond index fund (VBLTX), Fidelity Magellan stock mutual fund (FMAGX), General Motors stock (GM) are in the comma separated value (csv) file 424lab4returns.csv on the class webpage (same data from lab 4). Download the file to disk and make note of the location.