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Econometrics formative assignment - Research Paper Example

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c) Calculate the first order autocorrelation coefficient for the returns on the three stocks and comment upon them, relating the results to relevant financial theory. Carry out an appropriate Dickey-Fuller test to for stationarity in each stock price (or log of stock price) and each stock return, and explain the importance of your results.
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Econometrics formative assignment
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"Econometrics formative assignment"

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Correlogram for Vodafone


Date: 08/17/09 Time: 21:05
Sample: 1/01/1990 12/31/2008
Included observations: 224
Autocorrelation
Partial Correlation

AC
PAC
Q-Stat
Prob
.|. |
.|. |
1
0.002
0.002
0.0007
0.979
.|. |
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2
0.019
0.019
0.0826
0.960
.|* |
.|* |
3
0.182
0.182
7.6489
0.054
*|. |
*|. |
4
-0.061
-0.063
8.4992
0.075
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5
0.146
0.145
13.451
0.019
.|. |
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6
0.015
-0.021
13.502
0.036
.|* |
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7
0.088
0.116
15.322
0.032
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8
0.132
0.076
19.422
0.013
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9
-0.027
-0.009
19.596
0.021
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10
0.048
-0.006
20.139
0.028
.|* |
.|* |
11
0.153
0.140
25.713
0.007
.|* |
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12
0.115
0.116
28.881
0.004
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13
0.006
-0.033
28.889
0.007
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14
0.009
-0.041
28.907
0.011
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15
-0.032
-0.083
29.153
0.015
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The two vertical lines in the first column enclose the 95% confidence interval. Id k that extends past the broken line, reject the null hypothesis that k = 0 at 5% level of significance. Otherwise, do not reject the null hypothesis" (Danao).
In this particular tests, the result for BARC, VOD and FTALLSH show that we do not reject the null hypothesis that k = 0. But for the GSK graph, the result is opposite. We have necessary proof to reject the null hypothesis.
Decision Rule: "If the absolute value of the ADF Test Statistic is less than the value of the McKinnon Critical Values at the chosen level of significance, then the series has a unit root and is therefore non-stationary. ...Download file to see next pagesRead More
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