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Use CONSUMP.RAW for this exercise. (i) Let yt be real per capita disposable income. Use the data through 1989 to estimate the model yt = α + βt + pyt-1 + ut and report the results in the usual form. (ii) Use the estimated equation from part (i) to forecast y in 1990. What is the for...

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Use the data in FERTIL3.RAW for this exercise. (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, regress gfr on t, t2, and t3, along with an ...

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Use the data in BARIUM.RAW for this exercise. (i) Estimate the linear trend model chnimp, = a + fit + ur using the first 119 observations (this excludes the last 12 months of observations for 1988). What is the standard error of the regression? (ii) Now, estimate an AR(1) model for ch...

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Use the data in PHILLIPS.RAW to answer these questions. (i) Estimate the models in (18.48) and (18.49) using the data through 1997. Do the parameter estimates change much compared with (18.48) and (18.49)? (ii) Use the new equations to forecast unem1998: round to two places after the ...

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Use INTQRT.RAW for this exercise. (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 assumed that the co integration parameter was one in the ...

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In testing for co integration between gfr and pe in Example 18.5, add t2 to equation (18.32) to obtain the OLS residuals. Include one lag in the augmented DF test. The 5% critical value for the test is -4.15. ...

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Use the data in VOLAT.RAW for this exercise. (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 pcip. Carefully, state your conclusion. ...

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Use the data in HSEINV.RAW for this exercise. (i) Test for a unit root in log(mvpc), including a linear time trend and two lags of Δlog(invpcr). Use a 5% significance level. (ii) Use the approach from part (i) to test for a unit root in log(price). (iii) Given the outcomes in parts (...

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Use the data in MINWAGE.DTA for sector 232 to answer the following questions. (i) Confirm that lwage232t and lemp232t are best characterized as 1(1) processes. Use the augmented DF test with one lag of gwage232 and gemp232, respectively, and a linear time trend. Is there any doubt tha...

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Use the data in TRAFFIC2.RAW for this exercise. These monthly data, on traffic accidents in California over the years 1981 to 1989, were used in Computer ExerciseC10.11. (i) Using the standard Dickey-Fuller regression, test whether Itotacct, has a unit root. Can you reject a unit root...

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Trigonometry

Question Answers

Use CONSUMP.RAW for this exercise. (i) Let yt be real per capita disposable income. Use the data through 1989 to estimate the model yt = α + βt + pyt-1 + ut and report the results in the usual form. (ii) Use the estimated equation from part (i) to forecast y in 1990. What is the for...

View Answer

Use the data in FERTIL3.RAW for this exercise. (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, regress gfr on t, t2, and t3, along with an ...

View Answer

Use the data in BARIUM.RAW for this exercise. (i) Estimate the linear trend model chnimp, = a + fit + ur using the first 119 observations (this excludes the last 12 months of observations for 1988). What is the standard error of the regression? (ii) Now, estimate an AR(1) model for ch...

View Answer

Use the data in PHILLIPS.RAW to answer these questions. (i) Estimate the models in (18.48) and (18.49) using the data through 1997. Do the parameter estimates change much compared with (18.48) and (18.49)? (ii) Use the new equations to forecast unem1998: round to two places after the ...

View Answer

Use INTQRT.RAW for this exercise. (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 assumed that the co integration parameter was one in the ...

View Answer

In testing for co integration between gfr and pe in Example 18.5, add t2 to equation (18.32) to obtain the OLS residuals. Include one lag in the augmented DF test. The 5% critical value for the test is -4.15. ...

View Answer

Use the data in VOLAT.RAW for this exercise. (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 pcip. Carefully, state your conclusion. ...

View Answer

Use the data in HSEINV.RAW for this exercise. (i) Test for a unit root in log(mvpc), including a linear time trend and two lags of Δlog(invpcr). Use a 5% significance level. (ii) Use the approach from part (i) to test for a unit root in log(price). (iii) Given the outcomes in parts (...

View Answer

Use the data in MINWAGE.DTA for sector 232 to answer the following questions. (i) Confirm that lwage232t and lemp232t are best characterized as 1(1) processes. Use the augmented DF test with one lag of gwage232 and gemp232, respectively, and a linear time trend. Is there any doubt tha...

View Answer

Use the data in TRAFFIC2.RAW for this exercise. These monthly data, on traffic accidents in California over the years 1981 to 1989, were used in Computer ExerciseC10.11. (i) Using the standard Dickey-Fuller regression, test whether Itotacct, has a unit root. Can you reject a unit root...

View Answer

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Trigonometry

Question Answers

Use CONSUMP.RAW for this exercise. (i) Let yt be real per capita disposable income. Use the data through 1989 to estimate the model yt = α + βt + pyt-1 + ut and report the results in the usual form. (ii) Use the estimated equation from part (i) to forecast y in 1990. What is the for...

Use the data in FERTIL3.RAW for this exercise. (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, regress gfr on t, t2, and t3, along with an ...

Use the data in BARIUM.RAW for this exercise. (i) Estimate the linear trend model chnimp, = a + fit + ur using the first 119 observations (this excludes the last 12 months of observations for 1988). What is the standard error of the regression? (ii) Now, estimate an AR(1) model for ch...

Use the data in PHILLIPS.RAW to answer these questions. (i) Estimate the models in (18.48) and (18.49) using the data through 1997. Do the parameter estimates change much compared with (18.48) and (18.49)? (ii) Use the new equations to forecast unem1998: round to two places after the ...

Use INTQRT.RAW for this exercise. (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 assumed that the co integration parameter was one in the ...

In testing for co integration between gfr and pe in Example 18.5, add t2 to equation (18.32) to obtain the OLS residuals. Include one lag in the augmented DF test. The 5% critical value for the test is -4.15. ...

Use the data in VOLAT.RAW for this exercise. (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 pcip. Carefully, state your conclusion. ...

Use the data in HSEINV.RAW for this exercise. (i) Test for a unit root in log(mvpc), including a linear time trend and two lags of Δlog(invpcr). Use a 5% significance level. (ii) Use the approach from part (i) to test for a unit root in log(price). (iii) Given the outcomes in parts (...

Use the data in MINWAGE.DTA for sector 232 to answer the following questions. (i) Confirm that lwage232t and lemp232t are best characterized as 1(1) processes. Use the augmented DF test with one lag of gwage232 and gemp232, respectively, and a linear time trend. Is there any doubt tha...

Use the data in TRAFFIC2.RAW for this exercise. These monthly data, on traffic accidents in California over the years 1981 to 1989, were used in Computer ExerciseC10.11. (i) Using the standard Dickey-Fuller regression, test whether Itotacct, has a unit root. Can you reject a unit root...

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