Submitted by: Submitted by yumi7130
Views: 190
Words: 898
Pages: 4
Category: Business and Industry
Date Submitted: 10/31/2012 12:10 PM
Testing for normality: MANUF
H0: errors are normally distributed (z=0 & K=3)
H1: errors are not normally distributed (z≠0 & K≠3)
Decision rule:
Reject the null hypothesis if the histogram is not bell shaped (either leptokurtic distribution or a platykurtic distribution) and using 5% significance level, if the JB statistic is greater than the critical chi-squared value or p-value given on the output is less than 0.05.
Test statistic:
By observation, the errors look to have a leptokurtic distribution consisting of fatter tails and with a higher peak at the mean.
The JB statistic = 46939482 > 5.99 (given α= 0.05, with df = ?)
P-value = 0.00000 < 0.05
Conclusion:
Testing for misspecification: MANUF
H0: correct functional form
H1: incorrect functional form
Decision Rule:
If p-value of the Likelihood ratio is less than 0.05 we reject the null hypothesis.
Ramsey RESET Test
Equation: UNTITLED
Specification: MANUF-RF C MKT_RF SMB HML MOMENTUM
Omitted Variables: Squares of fitted values
Value df Probability
t-statistic 0.481280 1014 0.6304
F-statistic 0.231630 (1, 1014) 0.6304
Likelihood ratio 0.232974 1 0.6293
F-test summary:
Sum of Sq. df Mean Squares
Test SSR 0.458087 1 0.458087
Restricted SSR 2005.809 1015 1.976166
Unrestricted SSR 2005.351 1014 1.977663
Unrestricted SSR 2005.351 1014 1.977663
LR test summary:
Value df
Restricted LogL -1792.202 1015
Unrestricted LogL -1792.086 1014
Unrestricted Test Equation:
Dependent Variable: MANUF-RF
Method: Least Squares
Date: 10/27/12 Time: 16:12
Sample: 1927M01 2011M12
Included observations: 1020
Variable Coefficient Std. Error t-Statistic Prob.
C -0.011863 0.048190 -0.246171 0.8056
MKT_RF 0.991203 0.009015 109.9489 0.0000
SMB -0.093817 0.014074 -6.666092 0.0000
HML 0.178105 0.013816 12.89077 0.0000
MOMENTUM 0.045642 0.010732...