Individual Assignment in MATLAB
FIN41660
Financial Econometrics
You have to return a PDF file with answers to all questions, reporting tables with results,
plots, and you should add MATLAB codes for all points. Remember to add your name and
your ID number on the first page!
Deadline: December, 20 2020 late evening. Brightspace.
PART 1: MATLAB FUNCTIONS
Write a MATLAB function that has as output:
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.
PART 2: EMPIRICAL ANALYSIS
Use the above function to estimate a linear model. You have to pick one depedent variable
and at least two regresssors. It is up to you the choice of these series!
(Hint: you can check slides to be inspired from some examples or propose new examples)
You have to show results for the above points from a) to h) and comment on the results
reported according to what discussed in the theoretical lectures.
PART 3: ARIMA and FORECASTING
Use one of the macroeconomic time series of the FED St Louis Forecasting Game
https://research.stlouisfed.org/useraccount/fredcast/.
Propose an adequate ARIMA model and use it to make forecasts. Comments on results.
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