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Suppose you fit an AR(4) model for the daily log-returns observed from a REIT based on commercial properties. The summary statistics from the fitted model
Suppose you fit an AR(4) model for the daily log-returns observed from a REIT based on commercial properties. The summary statistics from the fitted model indicate that the model residuals still exhibit serial correlation. What should you do? A. Attempt to find a better fitting model B. Nothing -- serially correlated errors are typical in time series models
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