Estimation and hypothesis testing in EViews example 2 the CAPM

This exercise will estimate and test some hypotheses about the CAPM beta for several US stocks. First, Open a new workfile to accommodate monthly data commencing in January 2002 and ending in April 2007. Then import the Excel file 'capm.xls'. The file is organised by observation and contains six columns of numbers plus the dates in the first column, so in the 'Names for series or Number if named in file' box, type 6. As before, do not import the dates so the data start in cell B2. The monthly...

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And click OK, then name the group Interest by clicking the Name tab. The group will now appear as a set of series in a spreadsheet format. From within this window, click View Principal Components. Screenshot 3.2 will appear. There are many features of principal components that can be examined, but for now keep the defaults and click OK. The results will appear as in the following table. Principal Components Analysis Date 08 31 07 Time 14 45 Sample 1986M03 2007M04 Included observations 254...