This file shows the returns from industry based portfolios (i.e., each return represents returns from a size-weighted portfolio based on public companies that operate in the same industry). PLEASE NOTE YOU DO NOT NEED TO GET THE RETURN. I HAVE ALREADY GIVEN IT TO YOU. Use the portfolio return with the first letter/second letter of your last name for the dependent variable based on this table. Import the data into Stata.

Last Name Starts With	Industry Portfolio
B	Agric
Br	Food
C	Beer
D	Smoke
G	Toys
Ka	Fun
Ki	Books
Kl	Hshld
L	Clths
Ma	MedEq
Me	Drugs
Mi	Chems
Mo	Txtls
P	BldMt
Q	Cnstr
Sc	Steel
Se	Mach
St	ElcEq
Sy	Autos
Th	Aero
Tu	Ships
Up	Mines
Ur	Coal
V	Oil

Test if your return is stationary.

Create a new variable that is the return of the stock.

Run the following Regression:

Conduct an F-test for the additional Fama-French Factors and discuss the results.

Determine if Multicollinearity is likely a problem with your regression model.

Describe the problem of Heteroskedasticity and possible solutions.

Test for Heteroskedasticity and discuss results.

Using the BP test.

Using the White test. Note the difference in the two tests.

If evidence of Heteroskedasticity is found, provide a solution.