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problem sets - Economics 467: Economic Forecasting...

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Economics 467: Economic Forecasting Department of Economics State University of New York at Binghamton Problem Set #1 (Linear Regression) 1. The f le entitled MONEYDEM.XLS contains quarterly values of seasonally adjusted U.S.3-month ( TB 3 mo ) and 1-year ( TB 1 yr ) treasury bill rates. Each series is measured over the period 1959:Q3 to 2001:Q1. (a) Plot the time series of each series separately. Does each series appear to have a constant mean and variance over time? (b) Plot each time series on the same f gure. What can you say about the relationship between the two series? (c) Use Ordinary Least Squares (OLS) to estimate the relationship between long-term and short-term interest rates as TB 1 yr t = α + βTB 3 mo t + ε t (d) Whatdoestheestimateof β tell you about the relationship between long-run and short-run interest rates? (e) Test the null that β =1 . Is this result in accordance with macroeconomic theory? (f) Plot the residuals from the regression in part (c) versus TB 3 mo . Do you observe any pattern? (g) Use the White Test to test for the presence of heteroskedasticity. (h) Estimate the model again, but calculate the robust (White) standard errors. (i) What happens to the coe cients of the model in part (h) relative to part (c)? What happens to the standard errors of the model in part (h) relative to part (c)? Why? ( j)C rea teadummyva r iab letha tisequa lto1when TB 3 mo is in excess of 10 . 00 and zero otherwise. Include this variable in the regression model as TB 1 yr t = α + βTB 3 mo t + δD t +
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Economics 467: Economic Forecasting Department of Economics State University of New York at Binghamton Problem Set #2 (ARMA models) 1. The f le entitled SIM_2.XLS contains simulated data sets. The series Y1, contains ( T = ) 100 values of a simulated AR(1) process. Use this series to perform the following tasks. (a) Plot the sequence against time. Does the series appear to be stationary? (b) Plot the ACF and PACF.
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problem sets - Economics 467: Economic Forecasting...

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