It is possible to test the Efficient Markets Hypothesis using regressions of time series of returns on several assets, for example PFE stock, the Russell 2000 index, and GLD.

a) Describe the lag structure, if any, in the regression (timing of variable observations relative to each other).

b) Describe a hypothesis test that you could use to test the EMH (e.g. what are the restricted and unrestricted regressions and what distribution does the test statistic have?)

c) Would the test in b) represent a test of the strong form, semi-strong form, or weak form of the EMH?