Suppose that a researcher has observations on the log stock price indexes of Korea (k), Japan...

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Suppose that a researcher has observations on the log stock price indexes of Korea (k), Japan (j) and Singapore (s). Each stock price index series is 1(1). (1) (ii) Suppose the researcher estimates the following regression by OLS: S₁ = Bo + B₁jt + U₁ and finds that the autocorrelations of the estimated residuals are close to and not statistically different from zero at all lags. How would you describe the movement of s, and je over time relative to one another? Explain your answer fully. (1 mark). Would you recommend the researcher estimate the regression As₁ = Po + B₁Aj, +₂ as well? Justify your answer. (1 mark) Suppose the researcher estimates the following regression by OLS: K₂ = Bo + Bijt + Ut and finds that the autocorrelations of the estimated residuals are close to and not statistically different from one at all lags. How would you describe the movement of k, and j, over time relative to one another? Explain your answer fully. (1 mark). Would you recommend the researcher estimate the regression Akt = Bo + B₁Ajt+u, as well? Justify your answer. (1 mark) Suppose that a researcher has observations on the log stock price indexes of Korea (k), Japan (j) and Singapore (s). Each stock price index series is 1(1). (1) (ii) Suppose the researcher estimates the following regression by OLS: S₁ = Bo + B₁jt + U₁ and finds that the autocorrelations of the estimated residuals are close to and not statistically different from zero at all lags. How would you describe the movement of s, and je over time relative to one another? Explain your answer fully. (1 mark). Would you recommend the researcher estimate the regression As₁ = Po + B₁Aj, +₂ as well? Justify your answer. (1 mark) Suppose the researcher estimates the following regression by OLS: K₂ = Bo + Bijt + Ut and finds that the autocorrelations of the estimated residuals are close to and not statistically different from one at all lags. How would you describe the movement of k, and j, over time relative to one another? Explain your answer fully. (1 mark). Would you recommend the researcher estimate the regression Akt = Bo + B₁Ajt+u, as well? Justify your answer. (1 mark)

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i If the autocorrelations of the estimated residuals are close to zero at all lags it indicates that there is no significant serial correlation in the ... View the full answer