Unformatted text preview: nomic activity? Problem 3 (Wooldridge 18.7) Let gM t be the annual growth in the money supply and let unemp t be the unemployment rate. Assuming that unemp t follows a stable AR(1) process, explain in detail how you would test whether gM Granger causes unemp: Problem 4. (Wooldridge C18.2) Use the data in hseinv.xls for this exercise. 1. Test for a unit root in log ( invpc ) , including a linear time trend and two lags of & log ( invpc t ) . Use a 5% signi²cance level. 2. Use the approach from part 1 to test for a unit root in log ( price ) : 3. Given the outcomes in parts 1 and 2, does it make sense to test for cointegration between log ( invpc ) and log ( price ) ?...
View
Full
Document
This note was uploaded on 10/03/2009 for the course ECON 3200 taught by Professor Neilsen during the Spring '08 term at Cornell.
 Spring '08
 NEILSEN
 Econometrics

Click to edit the document details