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Linear Regression Project:On Testing the Empirical Validity of CAPMSpring 2018 Dr. H. FahmyInstructions:• Due Thursday, July 12, 2018 at the beginning of class sharp!• Late submissions are not acceptable under any circumstances.• The work that you will submit should be your own. Do not, under any circumstances, attempt to copyor use other students’ results.• You should submit your report with a cover page indicating clearly your first and last name and yourstudent ID. The cover page should be printed. For the content, feel free to print or write your answer.Please note that unstapled parts or parts without cover pages will not be accepted.• Do not just copy and paste your R code. You need to present your estimation results in standardreport form. The R code should be attached in an Appendix.Preliminaries: The UniverseIn this project, the universe is a Canadian common stocks market. In particular, we will focus on the top 60stocks listed on the Standard Poor Toronto Stock Exchange (SPTSX). The market index, which we willdenote by SPTSX60, is taken to be the value-weighted portfolio of the top 60 traded stocks in the SPTSXsuch that the weight of asset i in the market portfolio isExplain how can you estimate such an equation empirically. In other words, describe step-by-stephow would you fit a linear model that describes this equation explaining the types of variables ortransformations of variables necessary to specify the equation and how would you go about the relevantdata? In particular, refer to the specification step of the linear regression modelling procedure. (Hint:Think of the specification step of the linear regression modelling procedure, where you specify a modeland collect the necessary data. Your answer, for instance, could begin with s代做留学生R语言、R语言程序帮写、帮做R编程作业、R语言程序帮写、帮写R语言程序、R作业调试omething like this: Stepwhere the regressand Ytis time t’s rate of return of the stock in excess of the risk-free rate, the regressorXtis time t’s market rate of return in excess of the risk-free rate, euitis a white noise error term, andT is the total number of monthly observations between June 1989 and April 2014 (including bothmonths). Note that the workable number of observations in this case is T −1.(a) Take i =AEM and estimate the regression equation using the lm function on R. Report yourresults in a standard form. and comment on the validity of your estimation. (Hint: use the fourdecision criteria)(b) Explain the meaning of the estimated coe&¢cients. Sketch the estimated relation.(c) Construct an ANOVA table and compute TSS,ESS,andRSS.(d) Find an estimate for σ2, the variance of the unobserved true error term.(e) Compute the adjusted coe&¢cient of determination and explain why it is preferred over the coef-ficient of determination as a measure of goodness of fit.(f) Jensen (1968) was the first to note that the relation between expected return and market betaimplies the time series regression above. A valid CAPM described by this regression implies thatJensen’s alpha,theintercepttermintheregression,iszeroforanyasset.Testthishypothesisusing the likelihood ratio test.(g) Since you are using time-series data, you suspect the existence of serial correlation of order 1.Test the presence of serial correlation using Durbin-Watson test.(h) Run White test to detect the presence of heteroskedasticity. Report your estimation and testresults properly and attach your R code in the Appendix.(i) Given all your previous estimation results and tests, what can you say about the empirical validityof CAPM? Explain.转自：http://ass.3daixie.com/2018091659344636.html