Question: (a) Using the data in Table 1, Appendix 5A repeat example 14.8 by replacing the Intel log-returns with the CITI log-returns and compare your results

(a) Using the data in Table 1, Appendix 5A repeat example 14.8 by replacing the Intel log-returns with the CITI log-returns and compare your results with those in the example.

(b) Explain intuitively the use of auxiliary regressions, based on ut and u2t

, as the basis of misspecification testing for the LR model.

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