Discuss what happens to the value of the test statistic and its p-value when the standard deviation decreases. Test the following hypotheses with = 0.02 H 0 : There is no first-order autocorrelation. H 1 : There is first-order autocorrelation. n = 90 , k = 5 , d...
What happens to hat{beta} if x_{1} is multiply by 10? 2. Describe what it means for errors to be ho What are the consequences (for coecient estimates and standard errors) of autocor- relation in a static model. If we have an inverted yield c...
process. Second, it provides a little additional insight into what happens at the critical point d 5 1/2 on the boundary between stationarity and nonstationarity. Two examples show how aggregate employment and asset price volatility might be fractionally integrated. Aggre- gate employment is shown ...
As it happens with all studies, this study also has its limitations. We would love to extend our sample before 2007 and include more gas and oil indices; however, data availability was an issue, especially for futures. This study could be extended to include frontier countries in the rest ...