Financial Econometrics MATLAB Assignment
The purpose of this assignment from a module titled Financial Econometrics was to:
Create a function to estimate a linear model. i.e. to model the relationship between dependent and independent variables of the chosen time series.
One dependent variable and three regressors were chosen. The MATLAB function of the linear model should have the following outputs:
a) OLS estimator;
b) confidence intervals;
c) statistical significance;
d) Rsquared and Adjusted Rsquared;
e) F-statistic;
f) plot of the fitted model;
g) Diagnostic tests for residuals (normality, heteroscedasticity, serial correlation);
h) multicollinearity;
The main file 'ProjectNew.m', calls each of the functions from the 'functions' folder individually when run, providing each of the above linear model outputs as each function is called.
The 'DataNew.xlsx' file within the 'Data' folder is the time series data used in the linear regression.
The dependant variable is the close price of Berkshire Hathaway B-shares (BRKB)
The independant variables (regressors) are the price of gold per ounce, the S&P 500 close price, and the volume of S&P 500 shares traded.
Also included is the relavent sections of the assignment report which interprets and discusses the results of the linear regression.