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Suppose G = 1 or -1 depending on whether the stock (you are assigned with) generated a positive or a negative daily return. G_Lag is the lagged value of G. Test H0 : G & G_Lag are independent vs Ha: G & G_Lag are dependent?              |         G_Lag          G |        -1          1 |     Total -----------+----------------------+----------         -1 |        43         60 |       103          1 |        60         88 |       148 -----------+----------------------+----------      Total |       103        148 |       251             Pearson chi2(1) =   0.0366   Pr = 0.848

Suppose G = 1 or -1 depending on whether the stock (you are assigned with) generated a positive or a negative daily return. G_Lag is the lagged value of G. Test H0 : G & G_Lag are independent vs Ha: G & G_Lag are dependent?              |         G_Lag          G |        -1          1 |     Total -----------+----------------------+----------         -1 |        43         60 |       103          1 |        60         88 |       148 -----------+----------------------+----------      Total |       103        148 |       251             Pearson chi2(1) =   0.0366   Pr = 0.848

MATLAB: An Introduction with Applications
MATLAB: An Introduction with Applications
6th Edition
ISBN:9781119256830
Author:Amos Gilat
Publisher:Amos Gilat
Chapter1: Starting With Matlab
Section: Chapter Questions
Problem 1P
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Suppose G = 1 or -1 depending on whether the stock (you are assigned with) generated a positive or a negative daily return. G_Lag is the lagged value of G. Test

H0 : G & G_Lag are independent vs Ha: G & G_Lag are dependent?

 

           |         G_Lag

         G |        -1          1 |     Total

-----------+----------------------+----------

        -1 |        43         60 |       103

         1 |        60         88 |       148

-----------+----------------------+----------

     Total |       103        148 |       251

 

          Pearson chi2(1) =   0.0366   Pr = 0.848

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