Question: Using the same data set as in Exercise 3 and for house price growth, run several regression models with one, two, three, and four lags

Using the same data set as in Exercise 3 and for house price growth, run several regression models with one, two, three, and four lags of price growth in the right-hand side of the model. Analyze the regression results. Compare the regression models at the quarterly frequency with the models at the annual frequency that you estimated in Exercise 2. Choose your favorite model and implement a recursive and a rolling estimation scheme. Plot the time series of the estimates of the regression coefficients and observe how much they change over time.

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With the same time series of house price changes as in Exercise 3 we run the following four regression models i ii iii iv We report the estimation res... View full answer

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