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5. Consider the OLS estimator of a model to explain the stock prices of a FTSE 100 company using 120 observations from 2012 m1 to 2021 m 12, all variables are calculated at the end of the month t: log (stock +) 0.86 + 0.54 log (profit £) - 0.65 log (research t)-1.34 log (marketing &) (1.12) (0.24) (20)

5. Consider the OLS estimator of a model to explain the stock prices of a FTSE 100 company using 120 observations from 2012 m1 to 2021 m 12, all variables are calculated at the end of the month t: log (stock +) 0.86 + 0.54 log (profit £) - 0.65 log (research t)-1.34 log (marketing &) (1.12) (0.24) (20)

MATLAB: An Introduction with Applications
MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
Problem 1P
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G FTSE 100 6. Consider the OLS estimator of a model to explain the stock prices of observations from 2012 m1 to 2021 m 12, all variables are calculated company using 120 at the end of the month t log (stock +) 0.86 + 0.86 + 0.54 log (profit 6) - 0.65 log (research t)-1.34 log (marketing 6) (6.1) (1.12) (0.24) (0.30) (0.12) 3 n = 120, R² = 0.34 SSR = 1.29 F = 3.99 : / " 116 where stuck t the › in millions of stock price in GBP (British Sterling) profit & (the profit before tax GBP), research & (expenditure on research and development), and marketing t marketing) are measured in parentheses, SSR is the Sum of Squared Residuals, and the I statistic for the significance GBP. Standard errors are reported in (expenditure on millions of of the regression is $ provided. lat What is the interpretation of the coefficient on as you would expect? Explain your answer. log (profit t) 7 Is the sign of coefficient measured in thousands of GBP? Explain your answer. Hint: Would your interpretation change is (b) Looking at the estimates, a colleague claims that the effect of marketing expenses is more than GBP? Explain your answer. Hint: a million is thousand *thousand the profit is twice as large as the effect of research and development expenses a suitable test to examine this claim. Clearly specify the null and the alternative research and development expenses on the stock price. Describe and assumptions underlying your test. Indicate additional information, if necessary, to conduct such hypotheses test. (c) Anothe colleague gets hold of t q a variable small small, random firm in Bulgaria which captures the monthly stock price of Bulgaria from 2012 m 1 to 2021m 12. Excited with the discovery, the colleague insists un including additional variables in the model. What are the likely effects of the inclusion of small t including smallt in the model. Describe the statistical reasoning behind on the properties of the OLS estimators of the parameters of the model? Explain your answers intuitively. Hint: the Bulgarian company is completely unrelated with the FTSE company model. in the
Transcribed Image Text:G FTSE 100 6. Consider the OLS estimator of a model to explain the stock prices of observations from 2012 m1 to 2021 m 12, all variables are calculated company using 120 at the end of the month t log (stock +) 0.86 + 0.86 + 0.54 log (profit 6) - 0.65 log (research t)-1.34 log (marketing 6) (6.1) (1.12) (0.24) (0.30) (0.12) 3 n = 120, R² = 0.34 SSR = 1.29 F = 3.99 : / " 116 where stuck t the › in millions of stock price in GBP (British Sterling) profit & (the profit before tax GBP), research & (expenditure on research and development), and marketing t marketing) are measured in parentheses, SSR is the Sum of Squared Residuals, and the I statistic for the significance GBP. Standard errors are reported in (expenditure on millions of of the regression is $ provided. lat What is the interpretation of the coefficient on as you would expect? Explain your answer. log (profit t) 7 Is the sign of coefficient measured in thousands of GBP? Explain your answer. Hint: Would your interpretation change is (b) Looking at the estimates, a colleague claims that the effect of marketing expenses is more than GBP? Explain your answer. Hint: a million is thousand *thousand the profit is twice as large as the effect of research and development expenses a suitable test to examine this claim. Clearly specify the null and the alternative research and development expenses on the stock price. Describe and assumptions underlying your test. Indicate additional information, if necessary, to conduct such hypotheses test. (c) Anothe colleague gets hold of t q a variable small small, random firm in Bulgaria which captures the monthly stock price of Bulgaria from 2012 m 1 to 2021m 12. Excited with the discovery, the colleague insists un including additional variables in the model. What are the likely effects of the inclusion of small t including smallt in the model. Describe the statistical reasoning behind on the properties of the OLS estimators of the parameters of the model? Explain your answers intuitively. Hint: the Bulgarian company is completely unrelated with the FTSE company model. in the
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