Ask Question, Ask an Expert

+1-415-315-9853

info@mywordsolution.com

Ask Econometrics Expert

This coursework uses a data set from Stock and Watson’s ‘Introduction to Econometrics’ textbook. The two variables are a three-month interest rate (R90t) and a one-year interest rate (R1yrt). Use of the GRETL econometrics software is required. The data set is on the class MyPlace page. Using data for 1964Q1 to 1999Q4 throughout:
(a) Obtain time series plots of R90t,  R90t, R1yrt, and  R1yrt. Obtain plots of R90t against R1yrt and of  R90t against  R1yrt. Comment.
Consider the equation
 ΔXt =α +  ρXt−1 + γ1 ΔXt−1 + γ2 ΔXt−2 + γ3 ΔXt−3 + ut.
(b) Run the regression corresponding to (1) when Xt is R90t (the three month interest rate) and test H0 : ρ = 0 against Ha : ρ< 0 using appropriate Dickey-Fuller critical values.
(c) Repeat step (b) but for R1yrt (the one year interest rate).
(d) Repeat step (b) but for R90t − R1yrt.
(e) Discuss the implications of your estimations and your tests in parts (b),
(c), and (d).
(f) Estimate and discuss an ‘error correction mechanism’ type equation to describe ΔR90t, reporting tests for both (i) autocorrelation and (ii) parameter stability, as well as parameter estimates and standard errors.

Econometrics, Economics

  • Category:- Econometrics
  • Reference No.:- M91188

Have any Question? 


Related Questions in Econometrics

Create a 8- to 10-slide microsoftreg powerpointreg

Create a 8- to 10-slide Microsoft® PowerPoint® presentation with detailed speaker notes on each slide answering the following questions throughout the presentation: · What conflict styles have you encountered while worki ...

Consider the following short-run production function where

Consider the following short-run production function (where L = variable input, Q = output): Suppose that output can be sold for $10 per unit. Also assume that the firm can obtain as much of the variable input (L) as it ...

1 what types of solutions can address the tragedy of the

1. What types of solutions can address the tragedy of the commons? 2. What is the main prediction of the Coase theorem? 3. What are the two defining properties of public goods? 4. When is a public good being produced eff ...

In the winter which is the peak season for coats the price

In the winter, which is the peak season for coats, the price of coats is typically higher than it is in the summer. In the case of strawberries, however, the reverse is true: The price of strawberries is lower in the pea ...

Derive and plot olivias engel curve for pie if she eats pie

Derive and plot Olivia's Engel curve for pie if she eats pie only à la mode and does not eat either pie or ice cream alone (pie and ice cream are perfect complements).

A certain n-channel mosfet has a channel length of 2

A certain n-channel MOSFET has a channel length of 2 microns, a gate oxide thickness of 40 nm, and a channel mobility for electrons of 600 cm2/V s. The threshold voltage is 1 V. (a) What is the transit time of the electr ...

You are one of two member nations of ooec the organization

You are one of two member nations of OOEC: the Organization of Otter Exporting Countries, a cartel designed to artificially restrict otter output in an attempt to generate monopoly profits. Demand conditions are such tha ...

Suppose that there are two producers of prokrypton-b a rare

Suppose that there are two producers of prokrypton-B, a rare mineral capable of incapacitating aliens from distant planets. Governments across the globe are interested in purchasing defensive stores of the rare mineral. ...

Suppose that american borax is a monopolist and that the

Suppose that American Borax is a monopolist and that the worldwide demand for borax is Q = 100 - P where Q is tons of borax and P is the price per ton. The total cost function for American Borax is TC = 10Q + 0.5 Q 2 . a ...

The private demand for drive-in movies is given by p 20 -

The private demand for drive-in movies is given by P = 20 - 0.1Q. The industry marginal cost of showing drive-in movies is given by MC = 0.1Q. a. Graph the private demand and marginal cost curves, and determine the price ...

  • 4,153,160 Questions Asked
  • 13,132 Experts
  • 2,558,936 Questions Answered

Ask Experts for help!!

Looking for Assignment Help?

Start excelling in your Courses, Get help with Assignment

Write us your full requirement for evaluation and you will receive response within 20 minutes turnaround time.

Ask Now Help with Problems, Get a Best Answer

WalMart Identification of theory and critical discussion

Drawing on the prescribed text and/or relevant academic literature, produce a paper which discusses the nature of group

Section onea in an atwood machine suppose two objects of

SECTION ONE (a) In an Atwood Machine, suppose two objects of unequal mass are hung vertically over a frictionless

Part 1you work in hr for a company that operates a factory

Part 1: You work in HR for a company that operates a factory manufacturing fiberglass. There are several hundred empl

Details on advanced accounting paperthis paper is intended

DETAILS ON ADVANCED ACCOUNTING PAPER This paper is intended for students to apply the theoretical knowledge around ac

Create a provider database and related reports and queries

Create a provider database and related reports and queries to capture contact information for potential PC component pro