Calculate the 1st and 2nd order autocorrelation of pe

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Question:

Calculate the 1^st and 2^nd order autocorrelation of PE. Test Ρ_k = 0 for k =1, 2 for the full sample at 5% significance. Test whether Ρ₁remains the same before and after the GFC. What may explain the difference?

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Reference no: EM131223797

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