[R-SIG-Finance] statistical remedy needed

[tonyp]

Hi Arun, 

Thank you for the reply. You are right. Statistics can be a very tricky
business; especially applied in fiance. As you are suggesting, I did the
problem under the VAR analytical framework. Another possibility I tried to
analyze the problem with was to take the difference and use GLS with
serially correlated residuals and test for intercept = 0 or not. 

However, thanks for the reply. 

Best wishes, 
Tony

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