(i) Use NYSE.RAW to estimate equation (12.48). Let t be the fitted values from this equation (the...
Question:
(ii) Add return2t-1 to (12.48) and again compute the fitted values, t. Are any t negative?
(iii) Use the t from part (ii) to estimate (12.47) by weighted least squares (as in Section 8.4). Compare your estimate of (1 with that in equation (11.16). Test H0: (1 = 0 and compare the outcome when OLS is used.
(iv) Now, estimate (12.47) by WLS, using the estimated ARCH model in (12.51) to obtain the t. Does this change your findings from part (iii)?
Fantastic news! We've Found the answer you've been seeking!
Step by Step Answer:
Related Book For
Introductory Econometrics A Modern Approach
ISBN: 978-0324660548
4th edition
Authors: Jeffrey M. Wooldridge
Question Posted: