Assignment_3_Fall_2011

Assignment_3_Fall_2011 - FIN 271 FALL 201 DR R SOYER...

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FIN 271 DR. R. SOYER FALL 201 " Assignment 3 PART I: Quarterly growth rate of GNP In this assignment we will be interested in modeling quarterly growth rate of the U.S. GNP. The series is seasonally adjusted and it is for the period of 1947 Quarter 2 to 1991 Quarter 1. The time-series data is available in Blackboard under file "GNP_Quarterly.TXT". (a) Look at the plot of the time-series and its sample autocorrelation function. Discuss why the series look stationary. (b) By looking at both the autocorrelation and the partial autocorrelation functions of the series identify an autoregressive (AR) process to model the quarterly growth rate of GNP. In so doing, discuss your reasoning. (c) Estimate the AR process whose order you have identified in part (b), write down the estimated model (using the relevant coefficients of the AR process) and discuss whether the coeeficients are statistically significant. (d) Discuss whether the residuals of the estimated AR model are white noise. In so
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