Computer Exercise

[oskard]

Hello everyone,
I know that this forum is for EViews users, but I can't get help anywhere else.
Could you please help me with obtaining results using microfit?
I have to do following exercise as a coursework and I don't know how to obtain results in microfit.
Could you please guide me step by step how to get results in microfit?

Computer Exercise 1

Using the same set of data used in the first tutorial, again estimate the market model:

Rjt=α + βRmt + υt
Where is the return on the j’th asset at time t.
is the return on the ‘market portfolio’ of assets at time t.

1) Is there any evidence of 1st order autocorrelation?

2) Using the Lagrange Multiplier test, is there any evidence of 2nd order autocorrelation?
To test this you need to:
a) Run the regression and collect the residuals.
b) Fit the following regression, where the residual at time t is regressed against the residual lagged both one and two periods. In addition you need the return on the ‘market portfolio’ as an additional explanatory variable.



c) Then calculate (T-p)R2, where T are the number of observations and p is the number of lags in e. This statistic has a chi-squared distribution, with in this case 2 (number of lags) degrees of freedom.

3) Run the original regression, but this time using the Cochrane-Orcutt method. (Choose the 1st order autocorrelation option only and take the initial values from the programme)
4) Estimate the unrestricted version of the above model (i.e. including lags for both dependent and explanatory variables). Then perform the Hendry-Mizon common factor test.

[oskard]

Perhaps anyone know how to do the same exercise in EViews? Please help