th5-642-08 - root or no unit root) 2. Run a regression of...

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Fifth take home exercise, Econ 642 de Jong, Spring 2008 Answer all questions below. Please hand in your solutions at the start of the class of Monday May 28. Motivate all your answers. At http://www.econ.ohio-state.edu/dejong/bushapproval.txt you will find a data file containing the approval ratings of George W. Bush and the oil price per barrel. Load this data file into Eviews, and answer the following questions: 1. Run a regression of approval rating on the lag of the approval rating. (a) What value do you obtain for the slope coefficient (i.e., ˆ ρ ?) (b) Does this value suggest a unit root in the series, or no unit root? (Answer “unit
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Unformatted text preview: root or no unit root) 2. Run a regression of the oil price on the lag of the oil price. (a) What value do you obtain for the slope coecient (i.e., ?) (b) Does this value suggest a unit root in the series, or no unit root? (Answer unit root or no unit root) 3. Run a regression of the approval rating on the oil price. What is the t-value for the slope? 4. Create the rst dierences of the approval rating and the oil price. Run a regression of the rst dierence of the approval rating on the rst dierence of the oil price. What is the t-value for the slope? 1...
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This note was uploaded on 07/17/2008 for the course ECON 642 taught by Professor De jong during the Spring '08 term at Ohio State.

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