Analysis of the Price of Berkshire Hathaway Class A shares

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Analysis of the Price of Berkshire Hathaway
Class A shares

• Alan Chow
• Econ 484 Term Paper

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Daily Prices 1990 2007
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Test for Unit Root Augmented DF Test

• Null Hypothesis there is a unit root
• Type of Test t-test
• Test Statistic -3.171
• P-value 0.09048
• Coefficients
• lag1 lag2 lag3 lag4
  lag5 lag6 lag7 lag8
• -0.0050 0.0667 -0.0464 -0.0480 0.0015
  -0.0459 0.0061 -0.0276
• constant
• 5.1936
• time
• 537.2066
• Degrees of freedom 4299 total 4289 residual
• Residual standard error 761.5

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Test for Unit Root Phillips-Perron Test

• Null Hypothesis there is a unit root
• Type of Test t-test
• Test Statistic -3.339
• P-value 0.06019
• Coefficients
• lag1 constant time
• -0.0055 2.4463 585.9333
• Degrees of freedom 4306 total 4303 residual
• Residual standard error 764.6

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Test for Autocorrelation Ljung-Box

• Null Hypothesis no autocorrelation
• Test Statistics
• Test Stat 68.3763
• P-value 0.0000
• Dist. under Null chi-square with 13 degrees of
  freedom
• Total Observ. 4306

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Test for ARCH Effects LM Test

• Null Hypothesis no ARCH effects
• Test Statistics
• Test Stat 410.9967
• P-value 0.0000
• Dist. under Null chi-square with 12 degrees of
  freedom
• Total Observ. 4306