Question: 13.45 An autoregressive distributed lag model for a transaction duration of a stock observed by 30 observations is estimated as yn t = 2 +

13.45 An autoregressive distributed lag model for a transaction duration of a stock observed by 30 observations is estimated as yn t = 2 + 2x1t 10.8432

+ 1.5x2t 10.3942

+ 0.2x3t 10.0962 0.08yt-1 10.0252 R2 = 0.708 and F = 196.862 where yn = transaction duration (in second)

x1 = sell price (€)

x2 = buy price (€)

x3 = volume The numbers below the coefficients are the coefficient standard errors.

a. Interpret the coefficients of the lagged variable.

b. Test at the 5% level the null hypothesis of the effect of the previous transaction duration on the current transaction duration.

c. Interpret the coefficient of determination.

d. What do you conclude about the significance of the overall model?

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