FE7066 This assignment component comprises a report of 2,000 words. A combination of tasks such as investigating relationship of variables, testing of misspecifications for classical linear regression model, testing of cointegration

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FE7066 Data Analysis for Global Business Assignment Component 002 Coursework Brief 2026/27

FE7066 Data Analysis for Global Business

Assignment Component 002 Coursework Weighting 70%

Analysing quantitative secondary data

This assignment component comprises a report of 2,000 words. A combination of tasks such as investigating relationship of variables, testing of misspecifications for classical linear regression model, testing of cointegration and modelling will be included in the report.

Submission

Students to submit their work via Online Submission of module Weblearn.

Requirements

There are two questions with detailed requirements. Question 1 carries 60% and question 2 carries 40%. Both two questions are compulsory, and students should provide answers to each question accordingly in their report.

Question 1 Investigating relationship of variables and testing of misspecifications for classical linear regression model. (1,300 words)

In the spirit of Arbitrage Pricing Theory (APT), you are required to examine regressions that seek to determine whether the monthly returns on Microsoft stock can be explained by reference to unexpected changes in a set of macroeconomic and financial variables.
You are provided with an EViews workfile: macroassessment002. The sample period is from May 1986 to March 2018.

You are required to complete the following tasks and report the results:

a) Run the following OLS regression and present your output table: ermsoft c ersandp dprod dcredit dinflation dmoney dspread rterm
Using the 10% significance level, which of the variables has coeffi- cients that are statistically different from zero? (3 MARKS) Explain the null hypothesis of the F-test of the regression and state whether the null hypothesis is rejected. (3 MARKS)
b) You are given the following null hypotheses: the coefficients of DPROD, DCREDIT, DMONEY, and DSPREAD are zero. Test the null hypotheses.

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