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Q6)) (5 Points) You run a regression of the closing Market Index Prices on the previous days close using 120 days of data and get
Q6)) (5 Points) You run a regression of the closing Market Index Prices on the previous days close using 120 days of data and get the following results. Regression Statistics R Square 0.8084 Adjusted R Square 0.8068 Standard Error 2.2014 Observations 120 Intercept Slope Coefficients Standard Error 9.2473 3.8076 0.9007 0.0404 You decide to check for non-stationary and run a 1st difference model and get the following results: Regression Statistics Multiple R 0.2269 R Square 0.0515 Standard Error 2.2076 Observations 119 Intercept Slope Coefficients Standard Error 9.6055 3.8583 (0.1030) 0.0409 a) Do these results indicate a problem with non-stationary based on a Dickey-Fueller test of a random walk with drift? b) Based on your conclusions above what do you think the appropriate general form of the regression model should be for ongoing research. Q6)) (5 Points) You run a regression of the closing Market Index Prices on the previous days close using 120 days of data and get the following results. Regression Statistics R Square 0.8084 Adjusted R Square 0.8068 Standard Error 2.2014 Observations 120 Intercept Slope Coefficients Standard Error 9.2473 3.8076 0.9007 0.0404 You decide to check for non-stationary and run a 1st difference model and get the following results: Regression Statistics Multiple R 0.2269 R Square 0.0515 Standard Error 2.2076 Observations 119 Intercept Slope Coefficients Standard Error 9.6055 3.8583 (0.1030) 0.0409 a) Do these results indicate a problem with non-stationary based on a Dickey-Fueller test of a random walk with drift? b) Based on your conclusions above what do you think the appropriate general form of the regression model should be for ongoing research
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