If you determine from a Dickey Fuller test that a regression of Market Price data on its one day lagged price is a random walk which of the following is the most reliable regression to use on this data series? Model 1: Model 2: Model 3: Model 4: Price = B₁ + B₂Price 1 + e APrice,= B₁ + B₂Price 1 + e APrice = B₁ + B₂APrice 1 + e APrice-1 B₁ + B₂APrice 1 + e =

MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
Problem 1P
Question
1
If you determine from a Dickey Fuller test that a regression of Market Price data on its one day
lagged price is a random walk which of the following is the most reliable regression to use on this
data series?
Model 1:
Model 2:
APrice, B₁ + B₂Price 1 + e
Model 3:
APrice,= B₁ + B₂APrice+-1 + e
Model 4: APrice-1 B₁ + B₂APrice 1 + e
=
Price,
O Model 3
O Model 4.
=
B₁ + B₂Price 1 + e
M
O No answer text provided.
O Model 1
O Model 2
Transcribed Image Text:If you determine from a Dickey Fuller test that a regression of Market Price data on its one day lagged price is a random walk which of the following is the most reliable regression to use on this data series? Model 1: Model 2: APrice, B₁ + B₂Price 1 + e Model 3: APrice,= B₁ + B₂APrice+-1 + e Model 4: APrice-1 B₁ + B₂APrice 1 + e = Price, O Model 3 O Model 4. = B₁ + B₂Price 1 + e M O No answer text provided. O Model 1 O Model 2
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