2009_Tutorial_9_answers_slides

2009_Tutorial_9_answers_slides - model) b) ) 1 /( / ) ( ...

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ECON0701 Tutorial 9 2009 Sem 1 Angela Mak Question 2 a) price income beer 2 1 0 income income price income income income beer 2 1 0 ) ( *) ( income Var Var ) ( 1 2 Var income income income 2 1 2
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Question 3 If * 2 1 0 * ) ( z y * * 2 1 0 * ) ( z LRP z y Question 4 a) There are four seasonal dummies. 1 D =1 if the observation is in Spring, 1 D =0 otherwise 2 D =1 if the observation is in Summer, 2 D =0 otherwise 3 D =1 if the observation is in Autumn, 3 D =0 otherwise 4 D =1 if the observation is in Winter, 4 D =0 otherwise Only three out of the four seasonal dummies are needed. Otherwise, there will be the problem of
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perfect collinearity in the model if we also have the intercept term. ( All of the four dummy variables can be included if there is no intercept term in the
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Unformatted text preview: model) b) ) 1 /( / ) (     k n SSR J SSR SSR F U U R ) 1 6 4 50 /( 16 3 / ) 16 18 (      = 8.041667> 05 . ), , 3 ( 05 . ), 193 , 3 (   F F =2.60  Reject the null hypothesis at 5% significance level i.e. Seasonality is present in the above model Question 5 a) 2 1 1 ) ( 009735 . 048572 . 225549 .      t t t return return return (0.087) (0.039) (0.0070) b) : 2 1    H F= 2.160268, p= 0.1161 p>0.05  Fail to reject H at 5% significance level i.e. The efficient markets hypothesis holds....
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This note was uploaded on 09/06/2010 for the course FBE ECON0701 taught by Professor Paul during the Spring '09 term at HKU.

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2009_Tutorial_9_answers_slides - model) b) ) 1 /( / ) ( ...

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