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Question: Estimate the equation: 𝐡𝐻𝐴𝑅𝑖 = 𝛽0 + 𝛽1πΆπ‘œπ‘›π‘ π‘‘π‘Ÿπ‘Žπ‘–π‘›π‘’π‘‘π‘– + 𝛽2𝐿𝑛𝑀𝑉𝑖 + 𝛽3𝑀𝐡𝑖 + 𝛽4πΏπ‘’π‘£π‘’π‘Ÿπ‘Žπ‘”π‘’π‘– + 𝛽5𝐢𝐹𝐸𝑖 + 𝛽6𝐸π‘₯π‘π‘’π‘Ÿπ‘–π‘’π‘›π‘π‘’π‘– + 𝛽7π‘‡π‘œπ‘π‘‡π‘–π‘’π‘Ÿπ‘– + 𝛽8π‘…π‘’π‘™π‘Žπ‘‘π‘–π‘£π‘’π‘†π‘–π‘§π‘’π‘– + 𝛽9πΆπ‘Žπ‘ β„Žπ‘– + πœ€π‘– where the variables are defined as above for each deal 𝑖.

06 Nov 2023,4:08 AM

 

Question 1

Open the ‘Econometrics Assignment 2023-24.dta’ file in Stata and test the hypothesis that the mean BHAR is -10% using a 5% significance level. Show your workings.

[15 marks]

 

Question 2

Estimate the equation:

 

𝐡𝐻𝐴𝑅𝑖 = 𝛽0 + 𝛽1πΆπ‘œπ‘›π‘ π‘‘π‘Ÿπ‘Žπ‘–π‘›π‘’π‘‘π‘– + 𝛽2𝐿𝑛𝑀𝑉𝑖 + 𝛽3𝑀𝐡𝑖 + 𝛽4πΏπ‘’π‘£π‘’π‘Ÿπ‘Žπ‘”π‘’π‘– + 𝛽5𝐢𝐹𝐸𝑖

+ 𝛽6𝐸π‘₯π‘π‘’π‘Ÿπ‘–π‘’π‘›π‘π‘’π‘– + 𝛽7π‘‡π‘œπ‘π‘‡π‘–π‘’π‘Ÿπ‘– + 𝛽8π‘…π‘’π‘™π‘Žπ‘‘π‘–π‘£π‘’π‘†π‘–π‘§π‘’π‘– + 𝛽9πΆπ‘Žπ‘ β„Žπ‘– + πœ€π‘–

 

where the variables are defined as above for each deal 𝑖. Provide a screenshot of your results and discuss the magnitude and statistical significance of the coefficient estimates.

[20 marks]

 

Question 3

Test the hypothesis that the effect of payment methods (100% cash paid vs. stock and mixed paid) on acquirer long-term performance differs across constrained and unconstrained acquirers.

[15 marks]

 

Question 4

Discuss what is meant by the expression ‘multicollinearity’. What effects does multicollinearity have on regression analysis? How could you detect it? Check whether multicollinearity occurs in the model shown in Question 2.

[25 marks]

 

 

Question 5

A key assumption underlying OLS regression is homoscedasticity. Explain what is meant by ‘homoscedasticity’. What are the potential consequences on regression analysis if the homoscedasticity assumption breaks down? Outline two tests you could use to detect whether homoscedasticity is present. Test for heteroscedasticity in the model shown in Question 2.

[25 marks]

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