16 Exhibit 14 shows the autocorrelations of the residuals from an AR(1) model fit to the changes in the gross profit margin (GPM) of the Home Depot, Inc Exhibit 15 shows the output from a regression on changes in the GPM for Home Depot, where we have changed the specification of the AR regression A...

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16. Exhibit 14 shows the autocorrelations of the residuals from an AR(1) model fit to the changes...

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16. Exhibit 14 shows the autocorrelations of the residuals from an AR(1) model fit to the changes in the gross profit margin (GPM) of the Home Depot, Inc.

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Exhibit 15 shows the output from a regression on changes in the GPM for Home Depot, where we have changed the specification of the AR regression.

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A. Identify the change that was made to the regression model.
B. Discuss the rationale for changing the regression specification.

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Quantitative Investment Analysis

ISBN: 9781119743620

4th Edition

Authors: CFA Institute

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16. Exhibit 14 shows the autocorrelations of the residuals from an AR(1) model fit to the changes...

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EXHIBIT 14 Autocorrelations of the Residuals from Estimating the Regression AGPM,= 0.0006 0.3330AGPM1 + 1Q 1992-4Q 2001 (40 Observations) Lag 1 2 3 4 5 Autocorrelation -0.1106 -0.5981 -0.1525 0.8496 -0.1099

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Quantitative Investment Analysis

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