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Question Set B (20 points) The dataset used in this part of the case analysis, Set B data, comes from Introductory Econometrics by Jefferey M.

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Question Set B (20 points) The dataset used in this part of the case analysis, Set B data, comes from "Introductory Econometrics" by Jefferey M. Wooldridge. It contains monthly time-series data on S&P index from 1947 to June 1993. The dataset has been modified for this exercise. The definition of the variables are as follows: date: actual date of the S&P 500 index sp500: actual value of the S&P 500 index for that date. t: capturing the number of time periods (by using command gen t = _n) quarter: capturing the quarter of the time period (by using command gen quarter = quarter (date) ) Use the dataset to answer the following questions. Consider the four following regression models for forecasting S&P 500 index: a linear time trend (Model 1) a linear time trend and seasonality effects (Model 2) a quadratic time trend (Model 3) . a quadratic time trend and seasonality effects (Model 4)

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