3- The following stock price model was regressed using monthly data from 1980m1 to 1989m12: St = Bo + B₁yt + Ut It is be

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3 The Following Stock Price Model Was Regressed Using Monthly Data From 1980m1 To 1989m12 St Bo B Yt Ut It Is Be 1 (40.71 KiB) Viewed 31 times

3- The following stock price model was regressed using monthly data from 1980m1 to 1989m12: St = Bo + B₁yt + Ut It is believed there was a structural break in 1987m11, following a stock market crash. The regression using all the data produced a SSR of 0.97. Then two further regressions were run from 1980m1 to 1987m11, which produced a SSR of 0.58 and another regression from 1987m12 to 1989m12 produced a SSR of 0.32. Do you think the stock market crash in 1987m11 was statistically significant? 4- Consider the following regression model with 41 observations: log(Y)= Bo + B₁X₁ + B₂X₂ + 1₁ where Y = ratio of trade taxes (import and export taxes) to total government revenue, X₁ = ratio of the sum of exports plus imports to GNP, and X₂ = GNP per capita. We compute its determination coefficient by computing the auxiliary regression, obtaining a value of 0.1148. a Write the theoretical specification of the auxiliary regression given the above model. b- Test the model for heteroscedasticity at 5% significance level.