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{"ops":[{"attributes":{"bold":true},"insert":"Lab Test (15 marks)"},{"insert":"\n\nFile "},{"attributes":{"italic":true},"insert":"Stock Prices "},{"insert":"shows the monthly stock prices for the US major indices, i.e., Dow Jones, Nasdaq, Nasdaq100, S&P500, and Malaysia major index, i.e., KLCI. The 210 observations cover from July 2002 to December 2019.\n\na)\u00a0\u00a0\u00a0\u00a0\u00a0Estimate the influence of the US major index returns to the KLCI return.\n\n\nb)\u00a0\u00a0\u00a0\u00a0\u00a0Comment on their estimated parameter values.\n\nc)\u00a0\u00a0\u00a0\u00a0\u00a0Which stock return appears most significance? Which stock return appears most insignificant?\n\nd)\u00a0\u00a0\u00a0\u00a0\u00a0Do you think the regression results have been affected by multicollinearity issue? Why or why not?\n\ne)\u00a0\u00a0\u00a0\u00a0\u00a0If multicollinearity exists, can you improve upon your regression result by dropping any variable? Justify briefly your answer [Hint: You are recommended to utilize a suitable estimation technique to answer this question].\n\nf)\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0Based on your model from e), proof (using Eviews) that E("},{"attributes":{"italic":true},"insert":"ut"},{"insert":") = 0\n\ng)\u00a0\u00a0\u00a0\u00a0\u00a0Based on your model from e), proof (using Eviews) that Cov ("},{"attributes":{"italic":true},"insert":"ut"},{"insert":", "},{"attributes":{"italic":true},"insert":"xt"},{"insert":") = 0\n\nh)\u00a0\u00a0\u00a0\u00a0\u00a0Based on your model from e), are the residuals normally distributed?\n\ni)\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0Based on your model from e), are the residuals free from autocorrelation problem? [Hint: use the Breusch-Godfrey test with 12 lags of the residuals]\n\nj)\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0Based on your model from e), are the residuals free from heteroskedasticity problem? [Hint: use the White test]\n\nk)\u00a0\u00a0\u00a0\u00a0\u00a0Based on your analysis of the previous questions, propose a \u201cgood\u201d model [a model that fulfil all five assumptions of the disturbance terms].\n"}]}
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