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  3. Introduction to Regression with statsmodels in Python

Exercise

Modeling consecutive returns

Let's quantify the relationship between returns in 2019 and 2018 by running a linear regression and making predictions. By looking at companies with extremely high or extremely low returns in 2018, we can see if their performance was similar in 2019.

sp500_yearly_returns is available and ols() is loaded.

Instructions 1/2

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  • Run a linear regression on return_2019 versus return_2018 using sp500_yearly_returns and fit the model. Assign to mdl_returns.
  • Print the parameters of the model.