Question: 11.1 In the previous examples using the data set STOCKPAB.XLS, we have set p = q = 4 (i.e. four lags of stock returns in

11.1 In the previous examples using the data set STOCKPAB.XLS, we have set p = q =

4 (i.e. four lags of stock returns in both countries). Using County A as the dependent variable and the sequential testing procedure outlined in Chapter 10 select optimal values for p and q. Discuss whether stock returns in Country B Granger cause stock returns in Country A using the ADL( p, q) model you have selected.

Repeat the analysis using Country B as the dependent variable.

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