Questions from Econometrics

Q: This question asks you to study the so-called Beveridge Curve

This question asks you to study the so-called Beveridge Curve from the perspective of cointegration analysis. The U.S. monthly data from December 2000 through February 2012 are in BEVERIDGE. (i) Test...

Q: (i) Using all of the years—through 2017—

(i) Using all of the years—through 2017—run the regression (inft on inft21 (and an intercept) and test the null hypothesis that {inft} is I(1) against the alternative that it is I(0). At what signific...

Q: (i) Estimate an AR(3) model for pcip

(i) Estimate an AR(3) model for pcip. Now, add a fourth lag and verify that it is very insignificant. (ii) To the AR(3) model from part (i), add three lags of pcsp to test whether pcsp Granger causes...

Q: In testing for cointegration between gfr and pe, add t2 to

In testing for cointegration between gfr and pe, add t2 to equation to obtain the OLS residuals. Include one lag in the augmented DF test. The 5% critical value for the test is -4.15.

Q: (i) In Example 18.7, we estimated an

(i) In Example 18.7, we estimated an error correction model for the holding yield on six-month T-bills, where one lag of the holding yield on three-month T-bills is the explanatory variable. We assume...

Q: Use the data in PHILLIPS for this exercise. (i

Use the data in PHILLIPS for this exercise. (i) Estimate the models represented in equations using the data through 2015. (ii) Use the new equations to forecast unem2016; round to two decimal places....

Q: (i) It may be that the expected value of the

(i) It may be that the expected value of the return at time t, given past returns, is a quadratic function of returnt-1. To check this possibility, use the data in NYSE to estimate; returnt = 0 + 1r...

Q: (i) Estimate the linear trend model chnimpt =  +

(i) Estimate the linear trend model chnimpt =  + t + ut, using the first 119 observations (this excludes the last 12 months of observations for 1988). What is the standard error of the regression? (...

Q: (i) Graph gfr against time. Does it contain a

(i) Graph gfr against time. Does it contain a clear upward or downward trend over the entire sample period? (ii) Using the data through 1979, estimate a cubic time trend model for gfr (that is, regres...

Q: (i) Let yt be real per capita disposable income.

(i) Let yt be real per capita disposable income. Use the data through 1989 to estimate the model yt =  + t + yt-1 + ut and report the results in the usual form. (ii) Use the estimated equation fro...