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ps1macro2sp08 - 4 Real Net Exports In matlab 1 Plot the raw...

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Econ 387L: Macro II Spring 2008, University of Texas Instructor: Dean Corbae Problem Set #1- Due 1/22/08 You are to get a feel for aggregate macroeconomic data by creating one line of Table 2 of Kydland and Prescott (1990). For instance, suppose you are interested in the cyclical properties of nondurables and services consumption. Then you should download the real GDP and real consumption data from FRED (the Federal Reserve Bank of St. Louis Economic Database at http://research.stlouisfed.org/fred2/. Use the sample period 1959Q1 to 1989Q4 (Kydland and Prescott actually have data from 1954, but FRED doesn’t). Save it as a .txt file, which can easily be imported into Matlab. Choose only 1 of the following components to compare against real GDP: 1. Real Consumption of Nondurables and Services 2. Real Private Nonresidential Fixed Investment 3. Real Federal (Government) Consumption Expenditures and Gross Investment
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Unformatted text preview: 4. Real Net Exports. In matlab, 1. Plot the raw data. 2. Consider three filters to detrend the data: a. First difference (F-D) logged series (this creates quarterly growth rates of output, consumption, etc.) b. Extract a linear trend (L-T) on the logged series (just run a regression with a time trend in it). c. Use the Hodrick-Prescott (H-P) filter (provided on my website) on the logged data. 3. Plot the trends implied by each filter against the trend implied by the H-P filter. 4. Plot the detrended data. 5. What is the average component’s share in real GDP? 6. Find standard deviations and cross correlations (at both leads and lags) of all types of filtered data. 7. Are there appreciable differences in the results using the different filters? 1...
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