Consider a set of equity returns from four different markets across 12 different periods. The data are available in the marketdata.txt Define the forth variable as your response variable (Y). Define the following three models: Model 1 . Model 2 . Model 3 Y₁ = Bo + Biu+E; Y₁ = Bo + B₂x2 + Ei Y₁ = Bo + Bau +₂21 + 1 Mkt 1 Mkt 2 Mkt_3 Mkt_4 0.0083 0.0427 -0.0179 -0.0039 -0.0012 -0.0372 0.0090 -0.0026 -0.0549 -0.0521 -0.0462 -0.0567 0.0275 -0.0626 0.0338 0.0140 -0.0568 -0.0737 -0.0521 -0.0505 -0.0370 -0.0160 -0.0234 -0.0266 0.0575 0.0508 0.0603 0.0548 0.0103 -0.0138 0.0237 0.0147 0.0069 -0.0017 0.0038 -0.0010 -0.0403 -0.0326 -0.0304 -0.0259 0.0054 0.0222 0.0142 0.0137 0.0303 0.0947 0.0295 0.0299 (a) What could you say about the significance of the parameters in the three models? (b) Are the data satisfying the normality assumption in each model?
Consider a set of equity returns from four different markets across 12 different periods. The data are available in the marketdata.txt Define the forth variable as your response variable (Y). Define the following three models: Model 1 . Model 2 . Model 3 Y₁ = Bo + Biu+E; Y₁ = Bo + B₂x2 + Ei Y₁ = Bo + Bau +₂21 + 1 Mkt 1 Mkt 2 Mkt_3 Mkt_4 0.0083 0.0427 -0.0179 -0.0039 -0.0012 -0.0372 0.0090 -0.0026 -0.0549 -0.0521 -0.0462 -0.0567 0.0275 -0.0626 0.0338 0.0140 -0.0568 -0.0737 -0.0521 -0.0505 -0.0370 -0.0160 -0.0234 -0.0266 0.0575 0.0508 0.0603 0.0548 0.0103 -0.0138 0.0237 0.0147 0.0069 -0.0017 0.0038 -0.0010 -0.0403 -0.0326 -0.0304 -0.0259 0.0054 0.0222 0.0142 0.0137 0.0303 0.0947 0.0295 0.0299 (a) What could you say about the significance of the parameters in the three models? (b) Are the data satisfying the normality assumption in each model?
MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
Problem 1P
Related questions
Question
Anwer a&b
Expert Solution
Step by step
Solved in 10 steps with 12 images
Recommended textbooks for you
MATLAB: An Introduction with Applications
Statistics
ISBN:
9781119256830
Author:
Amos Gilat
Publisher:
John Wiley & Sons Inc
Probability and Statistics for Engineering and th…
Statistics
ISBN:
9781305251809
Author:
Jay L. Devore
Publisher:
Cengage Learning
Statistics for The Behavioral Sciences (MindTap C…
Statistics
ISBN:
9781305504912
Author:
Frederick J Gravetter, Larry B. Wallnau
Publisher:
Cengage Learning
MATLAB: An Introduction with Applications
Statistics
ISBN:
9781119256830
Author:
Amos Gilat
Publisher:
John Wiley & Sons Inc
Probability and Statistics for Engineering and th…
Statistics
ISBN:
9781305251809
Author:
Jay L. Devore
Publisher:
Cengage Learning
Statistics for The Behavioral Sciences (MindTap C…
Statistics
ISBN:
9781305504912
Author:
Frederick J Gravetter, Larry B. Wallnau
Publisher:
Cengage Learning
Elementary Statistics: Picturing the World (7th E…
Statistics
ISBN:
9780134683416
Author:
Ron Larson, Betsy Farber
Publisher:
PEARSON
The Basic Practice of Statistics
Statistics
ISBN:
9781319042578
Author:
David S. Moore, William I. Notz, Michael A. Fligner
Publisher:
W. H. Freeman
Introduction to the Practice of Statistics
Statistics
ISBN:
9781319013387
Author:
David S. Moore, George P. McCabe, Bruce A. Craig
Publisher:
W. H. Freeman