AEA2004-2005 - 31 456 Applied Econometrics Second...

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31 456 Applied Econometrics Second Assessment Exercise 2004/2005 The assessment exercise covers the material discussed in the entire course, but focuses particularly on the topics that deal with unit roots and cointegration. The data set is contained in an Excel file called applied*.xls and consists of two time series x and y. This data set must be used in answering Sections B-D. The actual file will have a different letter for each one of you instead that the generic * at the end of the name. This indicates that the files are different from each other and you should not obtain the same results. Section A requires you to generate the time series models requested. These time series models should all be generated within the Excel file applied*.xls . Ensure that, in generating these time series models, the generated time series have the same length and frequency as the two original series in the Excel file. When you have generated all six time series as required in Question A.1, you should save the edited Excel file, start GiveWin, read the newly saved Excel file into GiveWin, and then save the file as a GiveWin/PcGive file with the name applied*.in7 . We advise you to do these tasks soon after the exercise has been distributed, so that any problems in downloading or reading the data become known to you in good time. A listing of the generated time series models must accompany your submitted work. You must also submit on disk a copy of the PcGive file you used to complete the exercise, including all variables that you generated in the process. The (provisional) deadline for submission of your completed work is Friday 18 th March 2005.
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Some Guidelines 1. Marks will be allocated on the basis of clear presentation of results and lucid explanation of these obtained results. You should not that a very high weighting will be given in the allocation of marks to evidence that you: understand the techniques employed; can justify the techniques you have chosen and appraise their strengths and
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This note was uploaded on 03/01/2012 for the course EC 408 taught by Professor Rogerperman during the Fall '07 term at Uni. Strathclyde.

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AEA2004-2005 - 31 456 Applied Econometrics Second...

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