Question
Recreate the AR(t) model output for the close price series shown in the left of Table 7.4-Does the AR model indicate that this is a
Recreate the AR(t) model output for the close price series shown in the left of Table 7.4-Does the AR model indicate that this is a random walk? Explain how you reach your conclusion. Date, Close 5-Feb-01,53.84 6-Feb-01,53.20 7-Feb-01,54.66 8-Feb-01,52.30 9-Feb-01,50.40 12-Feb-01,53.45 13-Feb-01,54.10 14-Feb-01,53.00 15-Feb-01,52.00 16-Feb-01,52.36 20-Feb-01,53.40 21-Feb-01,50.21 22-Feb-01,49.70 23-Feb-01,50.28 26-Feb-01,51.07 27-Feb-01,50.99 28-Feb-01,50.09 1-Mar-01,48.34 2-Mar-01,48.92 5-Mar-01,48.37 6-Mar-01,49.55 7-Mar-01,50.70 8-Mar-01,51.65 9-Mar-01,50.78 12-Mar-01,48.31 13-Mar-01,48.80 14-Mar-01,47.20 15-Mar-01,47.85 16-Mar-01,46.93 19-Mar-01,47.38 20-Mar-01,47.88 21-Mar-01,48.31 22-Mar-01,46.91 23-Mar-01,47.57 26-Mar-01,49.60 27-Mar-01,50.29 28-Mar-01,49.66 29-Mar-01,50.62 30-Mar-01,50.50 2-Apr-01,50.64 3-Apr-01,49.19 4-Apr-01,49.87 5-Apr-01,50.54 6-Apr-01,51.24 9-Apr-01,50.30 10-Apr-01,50.84 11-Apr-01,50.23 12-Apr-01,49.70 16-Apr-01,49.05 17-Apr-01,49.24 18-Apr-01,52.73 19-Apr-01,52.50 20-Apr-01,51.71 23-Apr-01,52.04 24-Apr-01,50.10 25-Apr-01,50.67 26-Apr-01,51.24 27-Apr-01,52.83 30-Apr-01,51.74 1-May-01,53.50 2-May-01,53.08 3-May-01,53.10 4-May-01,53.02 7-May-01,52.05 8-May-01,51.98 9-May-01,51.59 10-May-01,53.42 11-May-01,54.10 14-May-01,54.35 15-May-01,52.00 16-May-01,51.65 17-May-01,51.76 18-May-01,52.04 21-May-01,53.20 22-May-01,53.52 23-May-01,52.52 24-May-01,52.89 25-May-01,51.20 29-May-01,51.21 30-May-01,51.47 31-May-01,51.75 1-Jun-01,51.72 4-Jun-01,50.99 5-Jun-01,51.30 6-Jun-01,50.75 7-Jun-01,51.10 8-Jun-01,51.02 11-Jun-01,50.23 12-Jun-01,50.57 13-Jun-01,50.15 14-Jun-01,49.50 15-Jun-01,48.15 18-Jun-01,48.52 19-Jun-01,48.86 20-Jun-01,49.80 21-Jun-01,50.45 22-Jun-01,49.98 25-Jun-01,49.00 26-Jun-01,49.10 27-Jun-01,48.50 28-Jun-01,49.37 29-Jun-01,48.80 2-Jul-01,49.75 3-Jul-01,49.22 5-Jul-01,48.60 6-Jul-01,47.34 9-Jul-01,48.25 10-Jul-01,47.50 11-Jul-01,48.85 12-Jul-01,51.85 13-Jul-01,52.90 16-Jul-01,53.48 17-Jul-01,53.35 18-Jul-01,53.98 19-Jul-01,54.23 20-Jul-01,54.28 23-Jul-01,53.03 24-Jul-01,53.10 25-Jul-01,55.10 26-Jul-01,55.50 27-Jul-01,55.41 30-Jul-01,55.88 31-Jul-01,55.90 1-Aug-01,55.01 2-Aug-01,55.99 3-Aug-01,55.39 6-Aug-01,54.50 7-Aug-01,55.08 8-Aug-01,54.53 9-Aug-01,54.17 10-Aug-01,53.60 13-Aug-01,52.20 14-Aug-01,52.36 15-Aug-01,52.00 16-Aug-01,51.69 17-Aug-01,50.80 20-Aug-01,51.59 21-Aug-01,49.94 22-Aug-01,50.24 23-Aug-01,49.74 24-Aug-01,50.95 27-Aug-01,50.39 28-Aug-01,50.10 29-Aug-01,49.15 30-Aug-01,47.60 31-Aug-01,48.05 4-Sep-01,48.45 5-Sep-01,49.15 6-Sep-01,47.37 7-Sep-01,46.22 10-Sep-01,46.23 17-Sep-01,44.00 18-Sep-01,45.35 19-Sep-01,45.45 20-Sep-01,45.31 21-Sep-01,44.66 24-Sep-01,47.28 25-Sep-01,48.40 26-Sep-01,49.48 27-Sep-01,49.39 28-Sep-01,49.50 1-Oct-01,49.76 2-Oct-01,51.60 3-Oct-01,52.73 4-Oct-01,51.50 5-Oct-01,52.40 8-Oct-01,51.11 9-Oct-01,52.08 10-Oct-01,53.63 11-Oct-01,53.49 12-Oct-01,52.90 15-Oct-01,53.48 16-Oct-01,53.14 17-Oct-01,52.22 18-Oct-01,51.90 19-Oct-01,53.01 22-Oct-01,53.04 23-Oct-01,52.61 24-Oct-01,52.48 25-Oct-01,53.30 26-Oct-01,53.42 29-Oct-01,51.90 30-Oct-01,50.60 31-Oct-01,51.40 1-Nov-01,52.24 2-Nov-01,52.97 5-Nov-01,53.90 6-Nov-01,54.94 7-Nov-01,53.82 8-Nov-01,54.50 9-Nov-01,55.10 12-Nov-01,55.58 13-Nov-01,54.26 14-Nov-01,55.28 15-Nov-01,56.00 16-Nov-01,55.10 19-Nov-01,55.75 20-Nov-01,55.70 21-Nov-01,55.12 23-Nov-01,55.80 26-Nov-01,55.75 27-Nov-01,55.08 28-Nov-01,55.00 29-Nov-01,54.65 30-Nov-01,55.15 3-Dec-01,54.58 4-Dec-01,55.17 5-Dec-01,56.57 6-Dec-01,55.62 7-Dec-01,55.34 10-Dec-01,54.27 11-Dec-01,54.08 12-Dec-01,54.33 13-Dec-01,53.36 14-Dec-01,54.06 17-Dec-01,55.85 18-Dec-01,55.78 19-Dec-01,56.28 20-Dec-01,56.26 21-Dec-01,57.57 24-Dec-01,57.13 26-Dec-01,58.15 27-Dec-01,58.37 28-Dec-01,58.35 31-Dec-01,57.55 2-Jan-02,58.05 3-Jan-02,57.98 4-Jan-02,57.60 7-Jan-02,57.39 8-Jan-02,57.84 9-Jan-02,56.40 10-Jan-02,57.00 11-Jan-02,55.80 14-Jan-02,55.76 15-Jan-02,56.87 16-Jan-02,55.99 17-Jan-02,56.76 18-Jan-02,56.35 22-Jan-02,58.01 23-Jan-02,59.86 24-Jan-02,59.67 25-Jan-02,58.40 28-Jan-02,58.63 29-Jan-02,57.91 30-Jan-02,59.75 31-Jan-02,59.98 1-Feb-02,59.26 4-Feb-02,58.90
Step by Step Solution
There are 3 Steps involved in it
Step: 1
Get Instant Access to Expert-Tailored Solutions
See step-by-step solutions with expert insights and AI powered tools for academic success
Step: 2
Step: 3
Ace Your Homework with AI
Get the answers you need in no time with our AI-driven, step-by-step assistance
Get Started