With the forecast errors of Exercise 8, run the following regression: et,1 = 0 + 1et1,1 +
Question:
et,1 = β0 + β1et–1,1 + β2et–2,1 + β3ft.1 + β4ft–1,1 + ut+1. Comment on the regression results. Perform an F-test for the joint hypothesis H0: β1 = β1= β3 = β4 = 0 and another F-test for H0: β3 = β4 = 0. Is the forecast error predictable in any way?
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In Table 11 we show the estimation results from regressing the forecast error on two lags of the err...View the full answer
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Related Book For
Forecasting for Economics and Business
ISBN: 978-0131474932
1st edition
Authors: Gloria Gonzalez Rivera
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