Question
Need Details Explanation A Financial Economist is attempting to form an econometric model to explain daily movements of stock returns. A colleague suggests that she
Need Details Explanation
A Financial Economist is attempting to form an econometric model to explain daily movements of stock returns. A colleague suggests that she might want to see whether her data are influenced by daily seasonality. I. How might she go about doing this? II. The Economist estimates a model with the dependent variable as the daily returns on a given share traded on the London stock exchange, and various macroeconomic variables and accounting ratios as independent variables. She attempts to estimate this model, together with five daily dummy variables (one for easy day of the week), and a constant term, using E Views. E Views then tells her that it cannot estimate the parameters of the model. Explain what has probably happened, and how she can fix it. III. Distinguish between intercept dummy variables and slope dummy variables, given an example of each.
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