Econometrics: Coursework Question

coursework assignment (research report) must be submitted electronically by the due date and time. When submitting your coursework assignment, you must provide one Microsoft Word or PDF file containing your written/text answers to the questions. In your answers to the questions below, you should present your EViews equation estimation output as it would be in published academic papers. (Examine the Fama-French (FF) 5- factor model paper, uploaded in the coursework folder, to understand how to present the estimation outputs in tables. The approaches to presentation are fairly standard.) Raw EViews output should be included only in an Appendix.The report should not exceed 2000 words in length. It should have a clear introduction and a conclusion.You should ensure that you have fully acknowledged the work of others in the body of the text and include a full list of references for all articles, books and other sources (e.g. Internet sites) that have been cited in the assignment. Coursework will be processed with plagiarism detection software. Marks will be awarded for writing style and graphical presentation as well as content.The data required for the coursework is contained in the excel file `Coursework_1.xls? in the coursework.. The tab ?Factors? contains monthly factor data from July 1963 to September 2022 that we will use to estimate three standard asset pricing models: the classical CAPM, the FF 3-factor model three model and the FF 5-factor model. The variables in the Excel file are: `RF’ containing the risk-free rate, `Mkt_RF’ containing the excess return on the market portfolio (the single factor in the classical CAPM model), `SMB’ containing the small-minus-big factor from the FF 3- and FF 5-factor model, `HML’ containing the high-minus-low factor from the FF 3- and FF 5-factor model, ?RMW? contains the robust minus weak factor from the FF 5-factor model, ?CMA? contains the conservative minus aggressive factor from the FF 5-factor model. The tab ?portfolio? contains the returns for the utility sector portfolio.Question 1 (10 points) Report and comment on the descriptive statistics for the utility portfolio and the market portfolio. These statistics should be in a nicely formatted table within the main text, with EViews output in the Appendix. Briefly comment on these statistics. Compare the utility and market portfolios? returns. Question 2 (10 points) Estimate the CAPM model for the utility industry portfolio using OLS in EViews. Comment in detail on your regression output. State/interpret the magnitude and statistical significance of the slope coefficient estimates and the statistical significance and fit of the overall regression. Question 3 (15 points)Describe in detail how the violation of the homoscedasticity and autocorrelation assumptions can affect your analysis in Question 2? Test for such violations and, if necessary, re-estimate the CAPM with the necessary corrections. Comment on the results. Question 4 (15 points) Estimate the CAPM model using quantile regression in EViews for a set of quantiles ranging from 0.1 to 0.9. Comment in detail on your regression output. State/interpret the magnitude and statistical significance of the quantile slope coefficient estimates. Perform an equality coefficient test across quantiles. Compare your results with the OLS estimates in Question 2. Question 5 (15 points) Estimate the FF 3-factor model using OLS in Eviews. Comment in detail on your regression output. State/interpret the magnitude and statistical significance of the slope coefficient estimates and the statistical significance and fit of the overall regression. Compare your results with the CAPM model of question 2.Question 6 (10 points)Estimate the extended 5-factor FF model. State/interpret the magnitude and statistical significance of the slope coefficient estimates and the statistical significance and fit of the overall regression. Compare your results with the models of Question 2 and Question 5.Question 7 (15 points)Test the joint hypothesis that the slopes of the CMA and RMW factors are equal to zero. Was this result expected and why? Question 8 (10 points) Estimate the extended 5-factor FF model using stepwise regression in EViews by setting the cut-off criterion at 1%. Comment in detail on your regression output and compare the results with the model of Question 6.EViews is NEEDED