Mathematics, 20.01.2020 18:31, morganlynn18

The stock market is said to be a leading indicator for gdp growth. because the stock market prices the expectations of future earnings, a bullish market may predict future economic growth and vice versa. let yt be gdp growth and xt be sp500 returns. (both series collected at the quarterly frequency as in the previous exercise). run ols for the following models:

a. yt=î²0+î²1xt+î¼t (contemporaneous correlation)
b. yt=î²0+axt-1+î¼t (one-quarter leading indicator)
c. yt= î²o+î²1xt-1+î²2xt-2+ î²3xt-3+ î²4xt-4+î¼t(four quarter leading indicator)
d. yt= î²o+î²1xt-1+î²2xt-2+ î²3xt-3+ î²4xt-4+î²5yt-1 +î¼t (leading indicator with gdp inertia)

for each model, assess the r-squared and the adjusted r-squared. which model do vou prefer?

Answers: 1

Show answers

Other questions on the subject: Mathematics

Mathematics, 21.06.2019 22:00, mosesbrinker

Amountain climber starts a climb at an elevation of 453 feet above sea level at his first rest stop he has climbed 162 feet and by his second rest stop he has climbed another 207 feet its getting late in the day so the climber starts his way down if the climber desends 285 feet how much does he need to ascend or descend to return to the original starting point

Answers: 1

continue

Mathematics, 21.06.2019 23:40, redhot12352

For a science project, a high school research team conducted a survey of local air temperatures. based on the results of the survey, the found that the average temperatures were around 10 degrees higher than expected. this result was wrong. the trouble with the survey was that most of the locations were exposed to direct sunlight and located over asphalt or sand, which resulted in higher temperatures than normal. this is a classic example of an error in which phase of inferential statistics?

Answers: 1

continue

Mathematics, 22.06.2019 02:00, minosmora01

Deena is planting two rectangular gardens. one garden is 3.67 feet by 8.56 feet, and the other garden is 3.67 feet by 7.45 feet. which expression does not respresent the total area in square feet of the two gardens

Answers: 2

continue

Mathematics, 22.06.2019 02:10, netflixacc0107

The human resources manager at a company records the length, in hours, of one shift at work, x. he creates the probability distribution below. what is the probability that a worker chosen at random works at least 8 hours? 0.62 0.78 0.84 0.96

Answers: 2

continue

Do you know the correct answer?

The stock market is said to be a leading indicator for gdp growth. because the stock market prices t...